Volatility in U.S. Natural Gas Prices: Exploring Market Dynamics and Economic Policy Uncertainties

Bahram Adrangi, Ales Kresta, Kambiz Raffiee and Tomas Tichy

Bulletin of Applied Economics, 2025, vol. 12, issue 2, 183-208

Abstract: We investigate the association between the Henry Hub natural gas pricFe (HHNGP) short-and long-run volatilities in the US and Global economic policy uncertainties, and crude oil market uncertainties (GEPU, OVX, respectively). Our findings from a GARCH-MIDAS methodology that takes the US industrial production and the US economic policy uncertainty (EPU) into account, Markov switching regressions (MSR) and Quantile Granger causality tests suggest that the association of realized short-term and long-term volatilities and global policy and oil market uncertainties are stable over time. Both the short- and long-term volatilities (STV and LTV, respectively) are Granger caused by GEPU and OVX at some quantiles. These findings have significant ramifications for policy makers and natural gas users in US.

Keywords: Natural gas price volatility; GARCH-MIDAS; Economic policy uncertainty; Economic uncertainty; Quantile Regression Granger causality; Markov Switching Regression. (search for similar items in EconPapers)
JEL-codes: G10 Q31 Q39 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:183-208

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