Suenaga, Hiroaki; Smith, Aaron; Williams, Jeffrey - In: Journal of Futures Markets 28 (2008) 5, pp. 438-463
We examine the volatility dynamics of NYMEX natural gas futures prices via the partially overlapping time‐series model of Smith (2005. Journal of Applied Econometrics, 20, 405–422). We show that volatility exhibits two important features: (1) volatility is greater in the winter than in the...
