forecasting the volatility of natural gas futures prices. Among other results, we find that the option implied volatility (IV …) significantly improves the performance of predictions regarding the future volatility of the natural gas market. We also identify …) which are statistically-significant in a predictive regression even after including the option implied volatility. On the …

's energy cost can be considered as a long position in a risk-free bond by an amount of the terminal oil price, and a short … position in a European put option to switch from oil to gas by an amount of the terminal oil price too. As a result, the option … pricing formula to empirical data on a daily basis. Hence, our innovative framework handles widely the hedge against the price …

. First, empirical data are often characterized by time-varying volatility and fat tails; therefore we use Gaussian GAS …