The predictive accuracy of over-the-counter natural gas price projections: A comparison of the AECO and Sumas pricing hubs

This study evaluated the forecast accuracy of over-the-counter (OTC) future natural gas price indications for two Canadian gas market centres: the Sumas hub near Vancouver, British Columbia, and the Alberta Energy Company (AECO) hub in south-east Alberta. The accuracy of both seasonal and monthly price projections were examined for the two hubs separately, and in comparison to each other. The statistical significance of hub location, seasonality, and the point in time at which OTC price predictions are made were investigated using step-wise multiple regression and dummy variables. Rolling average median forecast errors were calculated to determine if OTC forecast accuracy improved at the two hubs over the study period.;Regression results demonstrate that the independent variables selected play no statistically significant role in determining the predictive accuracy of OTC natural gas commodity price projections. This conclusion applies to both seasonal and near-month price projections.;The rolling median average showed that there is apparent learning occurring by market participants at both the AECO and Sumas market centres. (Abstract shortened by UMI.).