COURSE LEADER: ELISABETTA PELLINI, GIOVANNI URGA COURSE ID: I-SS12-OL LANGUAGE:

V SUMMER SCHOOL | MODELLING AND FORECASTING ENERGY MARKETS

In the last two decades, energy markets operators have witnessed major structural changes that have had a profund impact on how prices are determined on the market. Events like market liberalization, adoption of energy efficiency regulation, increased production from renewable energy sources, and climate change have contributed in making the demand and supply less predictable and the prices more volatile. The accurate modelling and forecasting of energy demand and prices has become of utmost importance, not only to energy producers themselves, but also to commodity traders and financial analysts focusing on the energy sector. The statistical features of energy data, which tends to follow periodic patterns and exhibit spikes, non-constant means and non-constant variances, renders the task of forecasting and modelling of energy data somewhat challenging.

The objective of TStat’s “Modelling and Forecasting Energy Markets” Summer School is therefore to provide participants with the specific analytical tools to undertake a rigorous and in-depth analysis of both demand and prices in international energy markets.

The programme covers a wide range of econometric methods currently available to researchers and practitioners, such as: i) univariate and multivariate time series models for forecasting prices and demand; ii) univariate and multivariate GARCH models for forecasting price volatility and iii) cointegration models and panel data models for assessing the sensitivity of energy demand to price, income and climate variables and for constructing long-run policy scenarios.

Following TStat’s training philosophy, the teaching style features both theoretical sessions, where participants are given the intuition behind the choice of a specific technique, and several practical sessions using econometric software. In this manner, the course leaders are able to bridge the “often difficult” gap between abstract theoretical methodologies, and the practical issues one encounters when dealing with real data.

The 2021 edition also includes an extended Case Study Group session during which participants will either work in small groups on a short applied case study or on a presentation of their own research work. Course leaders will discuss with participants the appropriateness of the methods adopted in their case study and the interpretation of the results obtained and will also provide feedback and guidance on possible future developments of individual research agendas.

At the end of the School participants are expected to be in a position to autonomously conduct energy markets analysis. In particular, participants will be able to evaluate which econometric method is more appropriate to the analysis in hand and will be able to test the appropriateness of their estimated model and the robustness of the results obtained.

Researchers and professionals working either: i) in the energy and related sectors, needing to model energy price and demand, and ii) on trading desks in financial institutions. Economists based in research policy institutions. Students and researchers in engineering, econometrics and finance needing to learn the econometrics methods and tools applied in this field.

It is required knowledge of intermediate statistics and econometrics, for example at the level of Wooldridge, J.M. (2019) and/or Brooks, C. (2019).

In particular, participants must be familiar with linear regression analysis, inference, regression misspecification issues and time series concepts of autocorrelation, stationarity and volatility.

During the Summer School, participants will be introduced to the econometric/statistical software Stata. Attendees do not however, require any previous knowledge of the software.

 

SUGGESTED READING (PRE- AND POST-SCHOOL)

Introductory Econometrics: A Modern Approach. 7th Edition, Wooldridge, J.M. (2019).

Introductory Econometrics for Finance, Cengage Learning and/or Brooks, C. (2019), Cambridge University Press.

 

MODULE 1 | ENERGY DATA ANALYSIS

 

SESSION I: AN INTRODUCTION TO ENERGY DATA

Data cleaning and data preparation (creating logs, log-differences).
Graphical analysis of energy time series: line plots, distribution plots, sample correlograms.
Understanding non-stationarity and volatility from visual inspection of the timeseries.

 

SESSION II: ENERGY DATA ANALYSIS 

Creating tables of descriptive statistics to understand the features of energy data.
Test for autocorrelation and heteroscedasticity. Normality test.
Unit root tests for checking nonstationary of energy time series.

 

MODULE 2 | TIME SERIES MODELS

 

SESSION I: UNIVARIATE TIME SERIES MODELS FOR ENERGY DEMAND AND PRICES (ELECTRICITY, CRUDE OIL, NATURAL GAS…)

Univariate time series models for modelling and forecasting energy prices (ARMA, ARIMA, ARFIMA, SARIMA). Diagnostic tests for univariate time series models.
Switching regressions for capturing stable and spiky regimes in energy prices
Practical applications: modelling and forecasting energy prices with univariate models using market data for OECD countries.

 

SESSION II: MULTIVARIATE TIME SERIES MODELS FOR ENERGY DEMAND AND PRICES (ELECTRICITY, CRUDE OIL, NATURAL GAS…)

Vector autoregressive (VAR) models for forecasting energy prices and for understanding interdependences between energy markets.
Granger predictability of energy prices.
Practical applications: modelling and forecasting energy prices with VAR models using market data for OECD countries.

MODULE 3 | VOLATILITY MODELS

 

SESSION I: UNIVARIATE GARCH MODELS FOR ESTIMATING AND FORECASTING ENERGY PRICES VOLATILITY (ELECTRICITY, CRUDE OIL, NATURAL GAS…)

ARCH, GARCH, GARCH-in-mean and IGARCH models for energy prices.
Inverse leverage effect in energy markets. Estimating asymmetric GARCH models
(EGARCH, TGARCH, APARCH).
Practical applications: fitting symmetric and asymmetric GARCH models for
energy prices volatility.

 

SESSION II: MULTIVARIATE GARCH MODELS FOR ENERGY PRICES VOLATILITY AND CORRELATION (ELECTRICITY, CRUDE OIL, NATURAL GAS…)

VECH and Diagonal VECH models.
Constant Conditional Correlation (CCC) model, Dynamic Conditional Correlation
Model (DCC) by Engle (2002) and Dynamic Conditional Correlation Model (DCC) by Tse and Tsui (2002).
Practical applications: testing for interdependencies between energy markets volatility using CCC and DCC models.

 

MODULE 4 | COINTEGRATION MODELS 

 

SESSION I: COINTEGRATION MODELS OF ENERGY DEMAND (ELECTRICITY, CRUDE OIL, NATURAL GAS…)

An introduction to the theory of cointegration.
Cointegration models for energy data: autoregressive distributed lag models and error correction models. The Engle & Granger procedure and the Johansen’s approach to cointegration.
Practical applications: Estimating energy demand models using market data for OECD countries.

 

SESSION II: APPLIED CASE STUDY ANALYSIS 

In this session, participants will be encouraged to discuss their own research projects and data issues. Course leaders are available for feedback and guidance on how to deal with research projects.

 

MODULE 5 | PANEL DATA MODELS

 

SESSION I: STATIC PANEL DATA MODELS FOR ENERGY DEMAND (ELECTRICITY, CRUDE OIL, NATURAL GAS…)

An introduction to panel data analysis: types of panel data, advantages of panel data.
Fixed vs random effects models in typical (large N and small T) panels.
Least squares dummy variables, within, between and GLS estimators. Hausman Test.

 

SESSION II: DYNAMIC PANEL DATA MODELS FOR ENERGY DEMAND (ELECTRICITY, CRUDE OIL, NATURAL GAS…) 

An introduction to the Generalised Methods of Moments estimation approach.
Estimators for dynamic models. Anderson and Hsiao estimator, Arellano and Bond estimator, Blundell and Bond estimator.
Practical applications: modelling energy demand with a panel data approach using data for OECD countries.

Due to the ongoing COVID-19 situation, the 2021 edition of this Summer School will be offered ONLINE on a part-time basis on the 30th of August to the 10th of September (excluding saturday and sunday) from 10:00 am to 1:30 pm Central European Summer Time (CEST).

A 45 minutes informal evening study group session will also be scheduled, during which participants are encouraged to discuss further issues arising from either the arguments addressed or practical sessions undertaken. The course leader will also be available during this session to offer feedback and guidance on how to deal with specific research issues.

Dr Elisabetta PELLINI, Centre for Econometric Analysis, Bayes Business School (formerly Cass), London (UK).

Professor Giovanni URGA, Centre for Econometric Analysis, Bayes Business School (formerly Cass), London (UK).

The online Summer School fee amounts to:

Full-time Students*: € 1250.00
Full-time PhD Students: € 1490.00
Academic: € 1775.00
Commercial: € 2825.00

*To be eligible for full-time student prices, participants must provide proof of their full-time student status for the current academic year. Our standard policy is to provide all full-time students, be they Undergraduates or Masters, access to our student registration rates. Part-time master and doctoral students on the other hand, who are also currently employed will however, be assigned the standard academic registration fee.

Fees are subject to VAT (applied at the current Italian rate of 22%). However, under current EU fiscal regulations, VAT will not be applied to companies, institutions or universities, providing a valid tax registration number.

Please note that a non-refundable deposit of €100.00 for students and €250.00 for Academic and Commercial participants, is required to secure a place and is payable upon registration. The number of participants is limited to 15. Places will be allocated on a first come, first serve basis. The school will only be confirmed when at least 5 people have enrolled.

Course fee covers: teaching materials (handouts, Stata do files and datasets to used during the school), a temporary licence of Stata valid for 30 days from the beginning of the school.

Individuals interested in attending this summer school must return their completed registration forms by e-mail training@tstat.eu to TStat by 15th August, 2021.


NAME

EMAIL

OBJECT

ADDITIONAL COMMENTS

[recaptcha]
I authorise the use of my personal data pursuant to Article 13 of L. Decree no 196 / 2003

ONLINE FORMAT

The objective of TStat’s “Modelling and Forecasting Energy Markets” Summer School is to provide participants with the specific analytical tools to undertake a rigorous and in-depth analysis of both prices and demand in international energy markets. The programme covers a wide range of econometric methods currently available to researchers and practitioners, such as: i) univariate and multivariate time series models to estimate and forecast prices and demand and ii) univariate and multivariate GARCH models for the estimation and forecast of price volatility and risk management in energy markets.

Due to the ongoing COVID-19 situation, the 2021 edition of this Summer School will be offered ONLINE on a part-time basis on the 30th of August to the 10th of September (excluding saturday and sunday) from 10:00 am to 1:30 pm Central European Summer Time (CEST).