State-space Implementation in Forecasting Carbon and Gas Prices in Commodity Markets

Rialdi Azhar, Febryan Kusuma Wisnu, Fajrin Satria Dwi Kesuma, Widya Rizki Eka Putri and Rian Andri Prasetya
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Rialdi Azhar: Department of Accounting, Faculty of Economics and Business, Universitas Lampung, Indonesia
Febryan Kusuma Wisnu: Department of Agriculture Engineering, Faculty of Agriculture, Universitas Lampung, Indonesia
Fajrin Satria Dwi Kesuma: Department of Management, Faculty of Economics and Business, Universitas Lampung, Indonesia
Widya Rizki Eka Putri: Department of Accounting, Faculty of Economics and Business, Universitas Lampung, Indonesia
Rian Andri Prasetya: Universitas Lampung

International Journal of Energy Economics and Policy, 2022, vol. 12, issue 3, 280-286

Abstract: Carbon is a waste that becomes a new economic commodity. It has been traded like stock prices in commodity markets. Owing to its new status, research on carbon price movements as a new economic commodity linked to gas has gained a considerable amount of interest. A deeper observation of the future of world gas prices can also be an indicator of the stability of this commodity. We use the state-space model as a statistical basis for modeling the daily movement of carbon values ??and gas prices. As a result, as we have calculated, the state-space model is able to predict and provide in-depth observational information on the relationship between carbon and gas. The economic implications show that carbon is not only good for the environment; its trading in the stock exchange also indicates that it can be a new stable and sustainable economic commodity.

Keywords: Commodity Markets; Forecasting; State Space Model; Carbon; Natural Gas (search for similar items in EconPapers)
JEL-codes: C1 C3 G17 Q4 Q47 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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