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- W2724573934 abstract "We investigated the determinants of daily volatility for natural gas nearby-month futures traded in NYMEX within a GARCH framework augmented with market fundamentals. Consistent with the previous literature, we found that volatility is much higher on the storage level announcement days, on Mondays and during winters defined as December, January and February. We also confirmed the previous finding that high volatility is associated with weather shocks in excess of seasonal norms. Samuelson’s hypothesis is also investigated and a significant time to maturity effect is detected. The impact of the (storage x season) interaction is investigated for the first time in this paper. Inclusion of this interaction term in our regressions produced very interesting results: The mainstream finding in the literature that lower storage levels result in higher volatility is valid only during winter. At other times, it is actually higher storage levels that results in higher volatility. Economic intuition behind this novel finding is discussed in detail. This study also fills the gap in the literature regarding the outof-sample forecasting accuracy of GARCH models augmented with the market fundamentals. We found that augmentation with market fundamentals improves the forecast accuracy evidenced by reduced mean absolute error and mean squared error compared to standard GARCH models with no market fundamentals." @default.
- W2724573934 created "2017-07-14" @default.
- W2724573934 creator A5017132124 @default.
- W2724573934 date "2015-05-25" @default.
- W2724573934 modified "2023-09-28" @default.
- W2724573934 title "Market Fundamentals and the Dynamics of Natural Gas Futures Volatility: An Augmented GARCH Approach" @default.
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