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Returns and volatility in the NYMEX Henry Hub natural gas futures market

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  • Apostolos Serletis
  • Asghar Shahmoradi

Abstract

In this paper we use autoregressive conditional heteroscedasticity‐type models to investigate the determinants of returns and volatility in the New York Mercantile Exchange Henry Hub natural gas futures contract market. Using daily data for the period that natural gas has been traded on the exchange, we find significant evidence of seasonal and open interest effects in both, returns and volatility.

Suggested Citation

  • Apostolos Serletis & Asghar Shahmoradi, 2006. "Returns and volatility in the NYMEX Henry Hub natural gas futures market," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 30(3), pages 171-186, September.
    • Handle: RePEc:bla:opecrv:v:30:y:2006:i:3:p:171-186
    DOI: 10.1111/j.1468-0076.2006.00167.x
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    Cited by:

    1. van Goor, Harm & Scholtens, Bert, 2014. "Modeling natural gas price volatility: The case of the UK gas market," Energy, Elsevier, vol. 72(C), pages 126-134.
    2. Sun, Mei & Wang, Yaqi & Gao, Cuixia, 2016. "Visibility graph network analysis of natural gas price: The case of North American market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 1-11.
    3. Li, Yan & Chevallier, Julien & Wei, Yigang & Li, Jing, 2020. "Identifying price bubbles in the US, European and Asian natural gas market: Evidence from a GSADF test approach," Energy Economics, Elsevier, vol. 87(C).
    4. repec:bla:opecrv:v:33:y:2009:i:2:p:111-124 is not listed on IDEAS
    5. Zuzanna Karolak, 2021. "Energy prices forecasting using nonlinear univariate models," Bank i Kredyt, Narodowy Bank Polski, vol. 52(6), pages 577-598.
    6. Geng, Jiang-Bo & Ji, Qiang & Fan, Ying, 2016. "The behaviour mechanism analysis of regional natural gas prices: A multi-scale perspective," Energy, Elsevier, vol. 101(C), pages 266-277.
    7. Ahmed, Walid M.A., 2018. "On the interdependence of natural gas and stock markets under structural breaks," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 149-161.
    8. Yadong Pei & Chiou-Jye Huang & Yamin Shen & Mingyue Wang, 2023. "A Novel Model for Spot Price Forecast of Natural Gas Based on Temporal Convolutional Network," Energies, MDPI, vol. 16(5), pages 1-15, February.
    9. Wang, Zuyi & Kim, Man-Keun, 2022. "Price bubbles in oil & gas markets and their transfer," Resources Policy, Elsevier, vol. 79(C).
    10. Naomi Boyd, 2015. "Market making and risk management in options markets," Review of Derivatives Research, Springer, vol. 18(1), pages 1-27, April.
    11. Liang, Chao & Xia, Zhenglan & Lai, Xiaodong & Wang, Lu, 2022. "Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model," Energy Economics, Elsevier, vol. 116(C).

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    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • N70 - Economic History - - Economic History: Transport, International and Domestic Trade, Energy, and Other Services - - - General, International, or Comparative
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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