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

Nazim Regnard; Jean Michel Zakoïan

doi:10.1016/j.eneco.2011.02.004

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

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Abstract

This paper examines the relationship between gas spot prices at the Zeebrugge market, one-month ahead Brent prices and temperatures over the period 2000-2005. A cointegration analysis is carried out and it is discovered that a cointegration relationship exists between the three series. To take into account the influence of temperature on the gas volatility, a GARCH(1,1) model with temperature-dependent coefficients is considered. Stability and estimation properties are discussed. An empirical finding is the existence of distinct volatility regimes for the volatility of gas prices, depending on the temperature level.

Original language	English
Pages (from-to)	1240-1251
Number of pages	12
Journal	Energy Economics
Volume	33
Issue number	6
DOIs	https://doi.org/10.1016/j.eneco.2011.02.004
Publication status	Published - 1 Nov 2011
Externally published	Yes

Keywords

GARCH
Gas prices
Nonstationary models
Periodic models
Quasi-maximum likelihood estimation
Time-varying coefficients

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10.1016/j.eneco.2011.02.004

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title = "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices",

abstract = "This paper examines the relationship between gas spot prices at the Zeebrugge market, one-month ahead Brent prices and temperatures over the period 2000-2005. A cointegration analysis is carried out and it is discovered that a cointegration relationship exists between the three series. To take into account the influence of temperature on the gas volatility, a GARCH(1,1) model with temperature-dependent coefficients is considered. Stability and estimation properties are discussed. An empirical finding is the existence of distinct volatility regimes for the volatility of gas prices, depending on the temperature level.",

keywords = "GARCH, Gas prices, Nonstationary models, Periodic models, Quasi-maximum likelihood estimation, Time-varying coefficients",

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AU - Regnard, Nazim

AU - Zakoïan, Jean Michel

PY - 2011/11/1

Y1 - 2011/11/1

N2 - This paper examines the relationship between gas spot prices at the Zeebrugge market, one-month ahead Brent prices and temperatures over the period 2000-2005. A cointegration analysis is carried out and it is discovered that a cointegration relationship exists between the three series. To take into account the influence of temperature on the gas volatility, a GARCH(1,1) model with temperature-dependent coefficients is considered. Stability and estimation properties are discussed. An empirical finding is the existence of distinct volatility regimes for the volatility of gas prices, depending on the temperature level.

AB - This paper examines the relationship between gas spot prices at the Zeebrugge market, one-month ahead Brent prices and temperatures over the period 2000-2005. A cointegration analysis is carried out and it is discovered that a cointegration relationship exists between the three series. To take into account the influence of temperature on the gas volatility, a GARCH(1,1) model with temperature-dependent coefficients is considered. Stability and estimation properties are discussed. An empirical finding is the existence of distinct volatility regimes for the volatility of gas prices, depending on the temperature level.

KW - GARCH

KW - Gas prices

KW - Nonstationary models

KW - Periodic models

KW - Quasi-maximum likelihood estimation

KW - Time-varying coefficients

U2 - 10.1016/j.eneco.2011.02.004

DO - 10.1016/j.eneco.2011.02.004

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SN - 0140-9883

VL - 33

SP - 1240

EP - 1251

JO - Energy Economics

JF - Energy Economics

IS - 6

ER -

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

Abstract

Keywords

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