A TARCH examination of the return volatility-volume relationship in electricity futures

Lester Hadsell

Applied Financial Economics, 2006, vol. 16, issue 12, 893-901

Abstract: Four electricity futures markets on NYMEX between 1996 and 1999 are examined using a TARCH model. The evidence suggests traders had an asymmetric reaction to new information. Evidence also is found for a correlation between futures returns and trading volume in two markets (COB and PV).

Date: 2006
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DOI: 10.1080/09603100500426663

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