Temperature, storage, and natural gas futures prices
نویسندگان
چکیده
Previous literature suggests that daily changes in US natural gas (NG) futures prices and their variance can be explained by oil volatilities, storage announcements, temperature shocks. These studies measure shocks using the National Oceanic Atmospheric Administration definitions of heating degree day (HDD) cooling (CDD). We show how hourly temperatures used to better long as well much depart above and/or below “comfort level” within a day, effects variability thermal inertia. Hourly also allow us construct measures extreme match timing release other market information. Another innovation is we use more economically relevant weights convert regional national averages, expected values variables via econometric models instead historical averages. Our results proposed HDD CDD are important for explaining weekly NG variance.
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ژورنال
عنوان ژورنال: Journal of Futures Markets
سال: 2023
ISSN: ['0270-7314', '1096-9934']
DOI: https://doi.org/10.1002/fut.22402