A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices

Nazim Regnard and Jean-Michel Zakoian

MPRA Paper from University Library of Munich, Germany

Abstract: A novel GARCH(1,1) model, with coefficients function of the realizations of an exogenous process, is considered for the volatility of daily gas prices. A distinctive feature of the model is that it produces non-stationary solutions. The probability properties, and the convergence and asymptotic normality of the Quasi-Maximum Likelihood Estimator (QMLE) have been derived by Regnard and Zakoian (2009). The prediction properties of the model are considered. We derive a strongly consistent estimator of the asymptotic variance of the QMLE. An application to daily gas spot prices from the Zeebruge market is presented. Apart from conditional heteroskedasticity, an empirical finding is the existence of distinct volatility regimes depending on the temperature level.

Keywords: GARCH; Gas prices; Nonstationary models; Periodic models; Quasi-maximum likelihood estimation; Time-varying coefficients (search for similar items in EconPapers)
JEL-codes: C22 C53 (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-ecm, nep-ene, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices (2011)
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