Weather, Demand and Natural Gas Futures Price Volatility in the UK
The dissertation deals with modelling of natural gas demand and natural gas futures price volatility with weather variables of the United Kingdom. The first chapter introduces some basic concept like volatility and background information of natural gas market in the UK. The second part is the litera...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2012
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| Online Access: | https://eprints.nottingham.ac.uk/26002/ |
| _version_ | 1848793093284823040 |
|---|---|
| author | Yang, Yuntao |
| author_facet | Yang, Yuntao |
| author_sort | Yang, Yuntao |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The dissertation deals with modelling of natural gas demand and natural gas futures price volatility with weather variables of the United Kingdom. The first chapter introduces some basic concept like volatility and background information of natural gas market in the UK. The second part is the literature review on related area and topics. The third chapter introduces the terminology and methodology in this dissertation. In the fourth chapter both linear models and non-linear ARIMA models are used to analyse the natural gas demand and the relationship between natural gas demand and heating degree days. In the fifth chapter a GARCH model is used to analyse the natural gas futures price volatility and the relationship with weather surprise. The final part is the conclusion. |
| first_indexed | 2025-11-14T18:54:49Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-26002 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:54:49Z |
| publishDate | 2012 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-260022017-10-19T13:16:33Z https://eprints.nottingham.ac.uk/26002/ Weather, Demand and Natural Gas Futures Price Volatility in the UK Yang, Yuntao The dissertation deals with modelling of natural gas demand and natural gas futures price volatility with weather variables of the United Kingdom. The first chapter introduces some basic concept like volatility and background information of natural gas market in the UK. The second part is the literature review on related area and topics. The third chapter introduces the terminology and methodology in this dissertation. In the fourth chapter both linear models and non-linear ARIMA models are used to analyse the natural gas demand and the relationship between natural gas demand and heating degree days. In the fifth chapter a GARCH model is used to analyse the natural gas futures price volatility and the relationship with weather surprise. The final part is the conclusion. 2012 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/26002/1/dissertation_yuntao.pdf Yang, Yuntao (2012) Weather, Demand and Natural Gas Futures Price Volatility in the UK. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Yang, Yuntao Weather, Demand and Natural Gas Futures Price Volatility in the UK |
| title | Weather, Demand and Natural Gas Futures Price Volatility in the UK |
| title_full | Weather, Demand and Natural Gas Futures Price Volatility in the UK |
| title_fullStr | Weather, Demand and Natural Gas Futures Price Volatility in the UK |
| title_full_unstemmed | Weather, Demand and Natural Gas Futures Price Volatility in the UK |
| title_short | Weather, Demand and Natural Gas Futures Price Volatility in the UK |
| title_sort | weather, demand and natural gas futures price volatility in the uk |
| url | https://eprints.nottingham.ac.uk/26002/ |