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Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast

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

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Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast

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  1. Take Home II: US Residential Natural Gas Price Analysis and 2011 Forecast Group E Lars Hult Eric Johnson Matthew Koson Trung Le JoonHee Lee AygulNagaeva Jenny Yaillen The UNIVERSITY of CALIFORNIA SANTA BARBARA

  2. Agenda Significance of Natural Gas in the US Data Analysis Forecast

  3. Schematic Geology of Natural Gas Resources

  4. Why Natural Gas? Currently second largest source of energy in the US Used in Transportation, Industrial, Residential & Consumer and Electric Power sectors

  5. Source: EIA, Energy in Brief

  6. 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

  7. EIA projects 30% domestic gas production growth, 16% consumption growth, leading to declining imports Source: Richard Newell, EIA, Annual Energy Outlook 2011

  8. US net imports of natural gas expected to decline substantially over forecast period Source: EIA, Annual Energy Outlook 2011

  9. 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

  10. Four-fold increase in shale gas production offsets declines in other U.S. supply, meeting consumption growth and lowering import needs

  11. Monthly U.S. Price of Natural Gas Delivered to Residential Consumers(January 1981-February 2011) Trace Histogram

  12. Correlogram of GAS

  13. Differenced Data Series, DGAS Histogram Trace

  14. Correlogram of DGAS

  15. Seasonally Differenced Data Series, SDDGAS Trace Histogram

  16. Correlogram of SDDGAS

  17. SDDGAS regressed on C, AR(1), MA(12)

  18. Actual, Fitted, Residual Plot

  19. Correlogram of Residuals

  20. Descriptive Statistics, Residuals

  21. Serial Correlation Test

  22. Correlogram of Squared Residuals

  23. Garch(1,1) Model

  24. Actual, Fitted, Residual Plot

  25. Correlogram of Residuals

  26. Histogram of Standardized Residuals

  27. ARCH LM Test

  28. Forecast of SDDGAS

  29. Trace and Forecast of SDDGAS

  30. Trace and Recolored Forecast of GAS

  31. March 2011 Forecasted Value vs. Actual Value

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