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

Authors

  • 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

DOI:

https://doi.org/10.32479/ijeep.12894

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

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Published

2022-05-18

How to Cite

Azhar, R., Kusuma Wisnu, F., Satria Dwi Kesuma, F. ., Rizki Eka Putri, W. ., & Andri Prasetya, R. . (2022). State-space Implementation in Forecasting Carbon and Gas Prices in Commodity Markets. International Journal of Energy Economics and Policy, 12(3), 280–286. https://doi.org/10.32479/ijeep.12894

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