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The Stochastic Seasonal Behaviour of Natural Gas Prices

✍ Scribed by Andrés García Mirantes; Javier Población; Gregorio Serna

Book ID
111059251
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
299 KB
Volume
18
Category
Article
ISSN
1354-7798

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## Abstract We examine the volatility dynamics of NYMEX natural gas futures prices via the partially overlapping time‐series model of Smith (2005. Journal of Applied Econometrics, 20, 405–422). We show that volatility exhibits two important features: (1) volatility is greater in the winter than in