COMOVEMENT ANALYSIS AND VOLATILITY OF ENERGY COMMODITY PRICE USING WAVELET COHERENCE
Econophysics is a field of science that implements methods, concepts, and physical models in analyzing economic data. The financial market views comovement as a prediction of a movement that occurs due to factors such as economic conditions, changes in the economic system, and government policies...
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Format: | Final Project |
Language: | Indonesia |
Online Access: | https://digilib.itb.ac.id/gdl/view/74299 |
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Institution: | Institut Teknologi Bandung |
Language: | Indonesia |
Summary: | Econophysics is a field of science that implements methods, concepts, and physical models in
analyzing economic data. The financial market views comovement as a prediction of a
movement that occurs due to factors such as economic conditions, changes in the economic
system, and government policies. In 2018 several phenomena occurred for several energy
commodity prices, namely West Texas Intermediate (WTI), Newcastle coal prices, and natural
gas prices. This was due to the influence of government policies, relations between countries,
the co-19 pandemic, and the Russian invasion of Ukraine. The phenomenon most felt by the
West Texas Intermediate (WTI) price occurred in April 2020, where the price of WTI fell to
minus 40 USD per barrel and became the weakest point of the WTI price. This was also
experienced by natural gas, reaching USD 1,834 per Mmbtu due to the abundant supply of
natural gas, while the price of Newcastle coal remained stable, but was not in the highest
position because it was only in the price range below USD 70 per ton. . The price movements
of WTI, coal and natural gas are improving again and soaring high in 2022 at the time of the
Russian invasion of Ukraine. The movements of WTI, coal and natural gas continue. This study
aims to determine volatility and comovement patterns to determine movements in the prices of
WTI, Newcastle coal and natural gas based on the period January 2018 to December 2022. The
data is processed using Rstudio to produce wavelet spectrum. Based on the research results,
the most visible volatility occurred in the price of Newcastle coal and natural gas, while the
largest comovement was experienced by coal and the lowest comovement was experienced by
natural gas. |
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