Volatility in natural gas and oil markets
Name
2003-012.pdf
Size
419.04 KB
Format
Adobe PDF
Checksum (MD5)
4cb73afbbed51de1cce18706a8fceb5b
Author(s)
Pindyck, Robert S.
Date Issued
2003
Publisher
MIT Center for Energy and Environmental Policy Research
Series/Report no.
MIT-CEEPR (Series) ; 03-012WP.
Abstract
Using daily futures price data, I examine the behavior of natural gas and crude oil price volatility since 1990. I test whether there has been a significant trend in volatility, whether there was a short-term increase in volatility during the time of the Enron collapse, and whether natural gas and crude oil price volatilities are interrelated. I also measure the persistence of shocks to volatility and discuss its implications for gas-and oil-related contingent claims.
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