Volatility dynamics of NYMEX natural gas futures prices

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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,...

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Bibliographic Details
Main Authors:	Suenaga, Hiroaki, Smith, A., Williams, J.
Format:	Journal Article
Published:	Wiley InterScience 2008
Online Access:	http://hdl.handle.net/20.500.11937/7299

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