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Evolving energies: Analyzing stability amidst recent challenges in the natural gas market

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  • Bouazizi, Tarek
  • Abid, Ilyes
  • Guesmi, Khaled
  • Makrychoriti, Panagiota

Abstract

The study explores the heightened volatility in the natural gas market resulting from the recent health crisis. Utilizing ARMA-Spline-GARCH, ARMA-Spline-GJR models, and PLS regression, an analysis of daily data from January 7, 1997, to December 31, 2021, reveals an accentuated volatility during the crisis, primarily driven by extreme weather conditions and natural gas storage dynamics. The PLS regression underscores eight significant components, with the dominant two explaining over 50% of the crisis’s impact. As the market navigates towards recovery, strategic risk management and adaptative measures become paramount for stability. These insights are instrumental for stakeholders and policymakers in developing responsive strategies to mitigate risks, highlighting the intricate interplay of historical and emergent factors shaping the market’s landscape. The findings underscore the necessity for resilience and adaptability amidst evolving global challenges to ensure the market’s sustainable future.

Suggested Citation

  • Bouazizi, Tarek & Abid, Ilyes & Guesmi, Khaled & Makrychoriti, Panagiota, 2024. "Evolving energies: Analyzing stability amidst recent challenges in the natural gas market," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    • Handle: RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002783
    DOI: 10.1016/j.irfa.2024.103346
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    Keywords

    Natural gas prices; Volatility; COVID-19 Crisis; Partial least square regression; ARMA-Spline-GARCH models;
    All these keywords.

    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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