Forecasting Oil and Natural Gas Prices: A Model Combination Approach

Ruben Aag, Hilde Bjørnland () and Peder Eliassen

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: This paper compares forecasting approaches for oil and natural gas prices within a unified pseudo-real-time framework. While oil price forecasting is well established, natural gas markets remain less explored and are characterized by more regionalized and less globally integrated pricing. By adapting established oil forecasting models to natural gas, we systematically assess how differences in market structure shape model transferability and predictive accuracy. Forecast combinations consistently outperform individual models for both commodities, underscoring the value of model averaging. However, the forecast gains are considerably larger for natural gas, reflecting greater potential for improvement in a more localized market. Optimal weighting schemes also differ: equal weights dominate for oil, while performance-based weights yield superior accuracy for gas. Overall, the results demonstrate that forecasting performance is both commodity- and market-structure-dependent, offering new insights into reliable energy price prediction across global and regional markets.

Keywords: oil and natural gas prices; forecasting; model combinations (search for similar items in EconPapers)
JEL-codes: C32 F41 O47 Q3 (search for similar items in EconPapers)
Pages: 51 pages
Date: 2025-10
New Economics Papers: this item is included in nep-for and nep-inv
References: Add references at CitEc
Citations:

Downloads: (external link)
https://crawford.anu.edu.au/sites/default/files/20 ... 8rnland_Eliassen.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2025-54

Access Statistics for this paper

More papers in CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Contact information at EDIRC.
Bibliographic data for series maintained by Cama Admin ().