take home ii: us residential natural gas price analysis and 2011 forecast
DESCRIPTION
Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast. Group E Lars Hult Eric Johnson Matthew Koson Trung Le Joon Hee Lee Aygul Nagaeva Jenny Yaillen. The UNIVERSITY of CALIFORNIA SANTA BARBARA. Agenda. Significance of Natural Gas in the US Data Analysis - PowerPoint PPT PresentationTRANSCRIPT
![Page 1: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/1.jpg)
Take Home II: US Residential Natural Gas Price
Analysis and 2011 ForecastGroup ELars Hult
Eric JohnsonMatthew Koson
Trung LeJoon Hee LeeAygul NagaevaJenny Yaillen
The UNIVERSITY of CALIFORNIA SANTA BARBARA
![Page 2: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/2.jpg)
Agenda• Significance of Natural Gas in the US• Data Analysis• Forecast
![Page 3: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/3.jpg)
Schematic Geology of Natural Gas Resources
![Page 4: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/4.jpg)
Why Natural Gas?
• Currently second largest source of energy in the US – Used in Transportation, Industrial, Residential
& Consumer and Electric Power sectors
![Page 5: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/5.jpg)
Source: EIA, Energy in Brief
![Page 6: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/6.jpg)
Why Natural Gas?• Currently second largest source of energy in the US
– Used in Transportation, Industrial, Residential & Consumer and Electric Power sectors
• Low foreign dependence – 87% of gas consumed in US produced domestically
• New abundant source, Shale Gas
![Page 7: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/7.jpg)
EIA projects 30% domestic gas production growth, 16% consumption growth, leading to declining imports
Source: Richard Newell, EIA, Annual Energy Outlook 2011
![Page 8: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/8.jpg)
US net imports of natural gas expected to decline substantially over forecast period
Source: EIA, Annual Energy Outlook 2011
![Page 9: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/9.jpg)
Over the last decade, U.S. shale gas production has increased 14-fold and now comprises about 22 percent of total U.S. production
Source: Richard Newell, EIA, Lippman Consulting
![Page 10: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/10.jpg)
![Page 11: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/11.jpg)
Four-fold increase in shale gas production offsets declines in other U.S. supply, meeting consumption growth and lowering import needs
![Page 12: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/12.jpg)
Monthly U.S. Price of Natural Gas Delivered to Residential Consumers(January 1981-February 2011)
0
10
20
30
40
50
60
4 6 8 10 12 14 16 18 20
Series: GASSample 1981M01 2011M02Observations 362
Mean 8.438398Median 6.965000Maximum 20.77000Minimum 3.940000Std. Dev. 3.369083Skewness 1.147545Kurtosis 3.546429
Jarque-Bera 83.95419Probability 0.000000
Trace Histogram
0
4
8
12
16
20
24
82 84 86 88 90 92 94 96 98 00 02 04 06 08 10
GAS
![Page 13: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/13.jpg)
Correlogram of GAS
![Page 14: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/14.jpg)
Differenced Data Series, DGAS
-4
-3
-2
-1
0
1
2
3
82 84 86 88 90 92 94 96 98 00 02 04 06 08 10
DGAS
0
20
40
60
80
100
-3 -2 -1 0 1 2
Series: DGASSample 1981M01 2011M12Observations 361
Mean 0.016814Median 0.040000Maximum 2.580000Minimum -3.200000Std. Dev. 0.696114Skewness -0.726564Kurtosis 6.510438
Jarque-Bera 217.1228Probability 0.000000
HistogramTrace
![Page 15: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/15.jpg)
Correlogram of DGAS
![Page 16: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/16.jpg)
Seasonally Differenced Data Series, SDDGAS
-4
-3
-2
-1
0
1
2
82 84 86 88 90 92 94 96 98 00 02 04 06 08 10
SDDGAS
0
20
40
60
80
100
120
-3.0 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5
Series: SDDGASSample 1981M01 2011M12Observations 349
Mean -0.003639Median 0.000000Maximum 1.740000Minimum -3.080000Std. Dev. 0.504787Skewness -0.635105Kurtosis 9.192337
Jarque-Bera 581.0628Probability 0.000000
Trace Histogram
![Page 17: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/17.jpg)
Correlogram of SDDGAS
![Page 18: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/18.jpg)
SDDGAS regressed on C, AR(1), MA(12)
![Page 19: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/19.jpg)
Actual, Fitted, Residual Plot
-2
-1
0
1
2
-4
-3
-2
-1
0
1
2
82 84 86 88 90 92 94 96 98 00 02 04 06 08 10
Residual Actual Fitted
![Page 20: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/20.jpg)
Correlogram of Residuals
![Page 21: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/21.jpg)
Descriptive Statistics, Residuals
0
10
20
30
40
50
60
70
-2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5
Series: ResidualsSample 1982M03 2011M02Observations 348
Mean -0.001221Median 0.003814Maximum 1.585270Minimum -1.957752Std. Dev. 0.377039Skewness -0.369274Kurtosis 7.870423
Jarque-Bera 351.8638Probability 0.000000
![Page 22: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/22.jpg)
Serial Correlation Test
![Page 23: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/23.jpg)
![Page 24: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/24.jpg)
Correlogram of Squared Residuals
![Page 25: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/25.jpg)
Garch(1,1) Model
![Page 26: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/26.jpg)
Actual, Fitted, Residual Plot
![Page 27: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/27.jpg)
Correlogram of Residuals
![Page 28: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/28.jpg)
Histogram of Standardized Residuals
![Page 29: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/29.jpg)
ARCH LM Test
![Page 30: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/30.jpg)
Forecast of SDDGAS
![Page 31: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/31.jpg)
Trace and Forecast of SDDGAS
-4
-3
-2
-1
0
1
2
3
82 84 86 88 90 92 94 96 98 00 02 04 06 08 10
SDDGAS FORECASTLOWER UPPER
![Page 32: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/32.jpg)
Trace and Recolored Forecast of GAS
0
4
8
12
16
20
24
82 84 86 88 90 92 94 96 98 00 02 04 06 08 10
GAS GASFGAS_LOWER GAS_UPPER
![Page 33: Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast](https://reader036.vdocuments.mx/reader036/viewer/2022062521/568167d6550346895ddd2edb/html5/thumbnails/33.jpg)
March 2011 Forecasted Value vs. Actual Value