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Unit root properties of natural gas spot and futures prices: The relevance of heteroskedasticity in high frequency data

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  • Vinod Mishra
  • Russell Smyth

Abstract

We apply a unit root test that allows for heteroskedasticity and two structural breaks to daily data for natural gas spot and futures prices. In contrast to previous findings, the main result is that natural gas spot and futures prices are mean reverting. More generally, the results emphasize the need to allow for heteroskedasticity when applying unit root tests to energy spot and futures prices with high frequency data, such as daily data.

Suggested Citation

  • Vinod Mishra & Russell Smyth, 2014. "Unit root properties of natural gas spot and futures prices: The relevance of heteroskedasticity in high frequency data," Monash Economics Working Papers 20-14, Monash University, Department of Economics.
    • Handle: RePEc:mos:moswps:2014-20
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    File URL: http://www.buseco.monash.edu.au/eco/research/papers/2014/2014unitroofmishrasmyth.pdf
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    References listed on IDEAS

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    Cited by:

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    Keywords

    Natural gas spot and futures prices; unit root; heteroskedasticity;
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