Hybrid model improves forecasting accuracy of NYMEX natural gas prices, indicating better market predictions.
As a core clean energy source in the global energy transition, natural gas price fluctuations directly affect the energy market supply demand balance, industrial chain cost control, etc. Thus, accurate natural gas price prediction is crucial for market participants’ decision making and policymakers’ regulation. To tackle the issue that traditional single models fail to capture data patterns of the New York Mercantile Exchange (NYMEX) natural gas futures daily prices—due to their nonlinearity, high volatility, and multi-scale features—this study proposes a hybrid model: VMD-CNN-BiLSTM-attention, integrating Variational Mode Decomposition (VMD), Convolutional Neural Network (CNN), Bidirectional Long Short-Term Memory (BiLSTM), and an attention mechanism. A one-step to four-step forecasting comparison was conducted using NYMEX natural gas futures daily closing prices, with the proposed model vs. CNN-BiLSTM-Attention and Autoregressive Integrated Moving Average (ARIMA) models. The empirical results show that the VMD-CNN-BiLSTM-attention model outperforms the comparison models in terms of Mean Absolute Percentage Error (MAPE), Mean Absolute Error (MAE), etc. Specifically, its four-step forecast MAPE stays ≤3.5% and R2 ≥ 98%, demonstrating a stronger ability to capture complex price fluctuations, better accuracy, and stability than traditional single models and deep learning models without VMD, and provides reliable technical support for short-to-medium-term natural gas price prediction.
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Jiang et al. (2025) studied this question.
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