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 … the stylized fact of fat-tail distributions into account. Second, we forecast volatility of basis defined as the price …