Evolving energies: Analyzing stability amidst recent challenges in the natural gas market

Tarek Bouazizi (), Ilyes Abid, Khaled Guesmi and Panagiota Makrychoriti

International Review of Financial Analysis, 2024, vol. 95, issue PA

Abstract: The study explores the heightened volatility in the natural gas market resulting from the recent health crisis. Utilizing ARMA-Spline-GARCH, ARMA-Spline-GJR models, and PLS regression, an analysis of daily data from January 7, 1997, to December 31, 2021, reveals an accentuated volatility during the crisis, primarily driven by extreme weather conditions and natural gas storage dynamics. The PLS regression underscores eight significant components, with the dominant two explaining over 50% of the crisis’s impact. As the market navigates towards recovery, strategic risk management and adaptative measures become paramount for stability. These insights are instrumental for stakeholders and policymakers in developing responsive strategies to mitigate risks, highlighting the intricate interplay of historical and emergent factors shaping the market’s landscape. The findings underscore the necessity for resilience and adaptability amidst evolving global challenges to ensure the market’s sustainable future.

Keywords: Natural gas prices; Volatility; COVID-19 Crisis; Partial least square regression; ARMA-Spline-GARCH models (search for similar items in EconPapers)
JEL-codes: C38 C53 C58 E32 G15 Q41 Q47 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002783

DOI: 10.1016/j.irfa.2024.103346

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