Online, Italy

Forecasting Energy Prices And Volatility With Eviews

The modelling and forecasting of energy prices and volatility has become of utmost importance in the current turbulent times. 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 energy prices somewhat challenging.

The objective of TStat’s “Forecasting Energy Prices and Volatility with EViews” course is to provide participants with the specific analytical tools to undertake a rigorous and in- depth analysis of 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 to estimate and forecast prices and ii) univariate and multivariate GARCH models for the estimation and forecast of price volatility.

In common with TStat’s training philosophy, throughout the course the theoretical sessions are reinforced by case study examples, in which the course tutor discusses current research issues, highlighting potential pitfalls and the advantages of individual techniques. The intuition behind the choice and implementation of a specific technique is of the utmost importance. In this manner, 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. At the end of the course, participants are expected to be able to autonomously implement the theories and methodologies discussed in the course.

Target group

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.

Course aim

The modelling and forecasting of energy prices and volatility has become of utmost importance in the current turbulent times. 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 energy prices somewhat challenging.

The objective of TStat’s “Forecasting Energy Prices and Volatility with EViews” course is to provide participants with the specific analytical tools to undertake a rigorous and in- depth analysis of 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 to estimate and forecast prices and ii) univariate and multivariate GARCH models for the estimation and forecast of price volatility.

Fee info

EUR 355: Full-time Students*: € 355.00

University: € 505.00

Commercial: € 675.00

*To be eligible for student prices, participants must provide proof of their full-time student status for the current academic year.