This diploma thesis is focused on econometric analysis of oil price WTI and natural gas price Henry Hub. After choosing possible factors based on literature, there are used econometrics methods for examine these factors. In this paper are shown VAR models that are the best for explanation of energy prices and there are created impulse respond function based on these models. The diploma thesis is divided into three main parts, two theoretical and one practical part. In the theoretical there is a ... show full abstractThis diploma thesis is focused on econometric analysis of oil price WTI and natural gas price Henry Hub. After choosing possible factors based on literature, there are used econometrics methods for examine these factors. In this paper are shown VAR models that are the best for explanation of energy prices and there are created impulse respond function based on these models. The diploma thesis is divided into three main parts, two theoretical and one practical part. In the theoretical there is a summary of basic fact about oil and natural gas, their price evolution and their also market and there are described used econometrics methods. In the practical part there are used the test of stationarity, Granger causality, estimated VAR models for two different periods, plot impulse respond functions and commented results. The paper shows difficulty with modelling these commodities and statistical significance unexpected events, eventually natural disasters as hurricane in energy price evolution. |