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A thesis submitted for the degree of MSc of Econometrics. University of Amsterdam, August 2011. sergej.o [at] googlemail.com

The thesis deals with fitting, modeling and forecasting of the retail consumer demand for natural gas. This is important and has a potential for numerous applications: gas portfolio risk management, keeping the storage system in balance, using it for valuation of swing contracts, gas consumption planning and other. Retail gas demand is weather sensitive and therefore can be better explained, compared to the demand from industries or power plants. A relationship between demand for the natural gas, weather and prices is of key focus. Such a relationship is studied by different tests and models for the demand of the natural gas, spot prices and weather are proposed. Econometric approaches are used to prove that spot or forward gas prices do not effect gas demand in a short-term horizon. Two models for residential natural gas demand are proposed. These are used to forecast demand for natural gas of residential consumers. Two weather models are considered and used to simulate gas demand. A comparison and discussion is provided. Data are obtained from three energy companies in the Netherlands and Belgium.
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