Volatility dynamics of NYMEX natural gas futures prices
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 the summer,...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Wiley InterScience
2008
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| Online Access: | http://hdl.handle.net/20.500.11937/7299 |
| _version_ | 1848745329517658112 |
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| author | Suenaga, Hiroaki Smith, A. Williams, J. |
| author_facet | Suenaga, Hiroaki Smith, A. Williams, J. |
| author_sort | Suenaga, Hiroaki |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 the summer, and (2) the persistence of price shocks and, hence, the correlations among concurrently traded contracts, displays substantial seasonal and cross-sectional variation in a way consistent with the theory of storage. We demonstrate that, by ignoring the seasonality in the volatility dynamics of natural gas futures prices, previous studies have suggested sub-optimal hedging strategies. |
| first_indexed | 2025-11-14T06:15:38Z |
| format | Journal Article |
| id | curtin-20.500.11937-7299 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:15:38Z |
| publishDate | 2008 |
| publisher | Wiley InterScience |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-72992017-09-13T16:06:25Z Volatility dynamics of NYMEX natural gas futures prices Suenaga, Hiroaki Smith, A. Williams, J. 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 the summer, and (2) the persistence of price shocks and, hence, the correlations among concurrently traded contracts, displays substantial seasonal and cross-sectional variation in a way consistent with the theory of storage. We demonstrate that, by ignoring the seasonality in the volatility dynamics of natural gas futures prices, previous studies have suggested sub-optimal hedging strategies. 2008 Journal Article http://hdl.handle.net/20.500.11937/7299 10.1002/fut.20317 Wiley InterScience restricted |
| spellingShingle | Suenaga, Hiroaki Smith, A. Williams, J. Volatility dynamics of NYMEX natural gas futures prices |
| title | Volatility dynamics of NYMEX natural gas futures prices |
| title_full | Volatility dynamics of NYMEX natural gas futures prices |
| title_fullStr | Volatility dynamics of NYMEX natural gas futures prices |
| title_full_unstemmed | Volatility dynamics of NYMEX natural gas futures prices |
| title_short | Volatility dynamics of NYMEX natural gas futures prices |
| title_sort | volatility dynamics of nymex natural gas futures prices |
| url | http://hdl.handle.net/20.500.11937/7299 |