VOLATILITY IN NATURAL GAS AND OIL MARKETS

Robert Pindyck

Working Papers from Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research

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.

Date: 2003-06
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Persistent link: https://EconPapers.repec.org/RePEc:mee:wpaper:0312

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