Unit root properties of natural gas spot and futures prices: The relevance of heteroskedasticity in high frequency data

Vinod Mishra and Russell Smyth

No 20-14, Monash Economics Working Papers from Monash University, Department of Economics

Abstract: We apply a unit root test that allows for heteroskedasticity and two structural breaks to daily data for natural gas spot and futures prices. In contrast to previous findings, the main result is that natural gas spot and futures prices are mean reverting. More generally, the results emphasize the need to allow for heteroskedasticity when applying unit root tests to energy spot and futures prices with high frequency data, such as daily data.

Keywords: Natural gas spot and futures prices; unit root; heteroskedasticity (search for similar items in EconPapers)
Pages: 18 pages
Date: 2014-04
New Economics Papers: this item is included in nep-ene
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Citations: View citations in EconPapers (9)

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