Markov Switching Volatilty in Weekly Natural Gas Price Returns (Henry Hub Spot)

In a few earlier posts (here and here) I estimated the Time Varying volatility in daily natural gas futures price (NGH4) returns.  This showed the distinct increase in the volatility of NGH4 in mid January 2014.  Now that the natural gas market has settled I thought I would try to put the recent volatility in perspective.

Pulling weekly Henry Hub spot prices from the EIA's API, I estimated the time varying weekly volatility again using a Markov Switching AR model.  A plot of the state weighted annualized volatility is below. As you can see since 2010 the natural gas market has been fairly tame.  However the recent volatility fits in quite normally with the pre-2010 behavior of gas prices.


Email this to someoneShare on RedditTweet about this on Twitter

Leave a Reply

Your email address will not be published. Required fields are marked *