Lv, Xiaodong; Shan, Xian - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 22, pp. 5685-5699
In this paper, we model natural gas market volatility using GARCH-class models with long memory and fat-tail distributions. First, we forecast price volatilities of spot and futures prices. Our evidence shows that none of the models can consistently outperform others across different criteria of...