Academic researches and industry white papers together host a wealth of knowledge on forecasting energy prices, including natural gas prices. Most of the recorded methods share two features: first, employed a time series approach, predicting price as a function of its own lagged variables. However, the time series approaches often fail to capture sudden spikes or drops in price; second, anchored the forecasting model on the relationship between natural gas and crude oil. Traditionally natural gas and crude oil prices sustained a stable relationship: crude oil price dollar/bbl to natural gas price dollar/mmbtu is about 6 to 7:1, which is approximately the heat content equivalence between the two commodities. After reaching a peak (120 dollar/bbl for crude oil and 14 dollar/mmbtu for natural gas) in summer of 2008, prices of crude oil and natural gas dropped significantly in September 2008. However crude oil price quickly recovered back to about 80 dollars/bbl, but natural gas price has been anemic ever since then and hovering around 4 dollar/mmbtu compared to a previous 6-7 dollar/mmbtu level. Hence, the relationship between crude oil price and natural gas price in the North America market has decoupled and the correlation of the two has materially weakened since 2008, and not yet any sign that the two prices will converge back to their prior relationship…..