A Study on Predicting Natural Gas Prices Utilizing Ensemble Model

Yusi Liu, Zhijie Jiang () and Wei Leng ()
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Yusi Liu: College of Mathematics and Statistics, Sichuan University of Science and Engineering, Yibin 644000, China
Zhijie Jiang: College of Mathematics and Statistics, Sichuan University of Science and Engineering, Yibin 644000, China
Wei Leng: College of Mathematics and Statistics, Sichuan University of Science and Engineering, Yibin 644000, China

Sustainability, 2025, vol. 17, issue 18, 1-21

Abstract: Natural gas, a key low-emission energy source with significant strategic value in modern energy systems, necessitates accurate forecasting of its market price to ensure effective policy planning and economic stability. This paper proposes an ensemble framework to enhance natural gas price forecasting accuracy across multiple temporal scales (weekly and monthly) by constructing hybrid models and exploring diverse ensemble strategies, while balancing model complexity and computational efficiency. For weekly data, an Autoregressive Integrated Moving Average (ARIMA) model optimized via 5-fold cross-validation captures linear patterns, while the Long Short-Term Memory (LSTM) network captures nonlinear dependencies in the residual component after seasonal and trend decomposition based on LOESS (STL). For monthly data, the superior-performing model (ARIMA or SARIMA) is integrated with LSTM to address seasonality and trend characteristics. To further improve forecasting performance, three diverse ensemble techniques including stacking, bagging, and weighted averaging are individually implemented to synthesize the predictions of the two baseline models. The bagging ensemble method slightly outperforms other models on both weekly and monthly data, achieving MAPE, MAE, RMSE, and R 2 values of 9.60%, 0.3865, 0.5780, and 0.8287 for the weekly data, and 11.43%, 0.5302, 0.6944, and 0.7813 for the monthly data, respectively. The accurate forecasting of natural gas prices is critical for energy market stability and the realization of sustainable development goals.

Keywords: natural gas price; ARIMA; SARIMA; LSTM; ensemble model (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2025
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