Volatility dynamics of NYMEX natural gas futures prices

Journal of Futures Markets - Tập 28 Số 5 - Trang 438-463 - 2008
Hiroaki Suenaga1, Aaron Smith2, Jeffrey C. Williams2
1School of Economics and Finance, Curtin University of Technology, Perth, Western Australia, Australia
2Department of Agricultural and Resource Economics, University of California, Davis, Davis, California, USA and a Member of the Giannini Foundation, USA

Tóm tắt

AbstractWe 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, and (2) the persistence of price shocks and, hence, the correlations among concurrently traded contracts, displays substantial seasonal and cross‐sectional variation in a way consistent with the theory of storage. We demonstrate that, by ignoring the seasonality in the volatility dynamics of natural gas futures prices, previous studies have suggested sub‐optimal hedging strategies. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:438–463, 2008

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Thông tin xuất bản

Journal of Futures Markets

Tập 28 Số 5

438-463

Thông tin tác giả