Forecasting Natural Gas Price Using a Hybrid Model of Neural Network and Wavelet

In this article, we introduce a model for forecasting the daily gas prices by the use of wavelet transform and neural networks. In this hybrid model, the discrete Daubechies wavelet transform is applied to decompose the gas prices series into approximation series and details series (DS). The new series are used as inputs to the ANN model to forecast Henry Hub natural gas prices. The relative performance of the hybrid model and neural network model shows that WANN model provides more accurate naturel gas price forecast compared to the individual ANN model. Diebold-Mariano test confirms this result.