Qin, Xiaoyan; Bessler, David A.; Leatham, David J.; Wu, … - 2010
market, a 2-state regime-switching model with Markov transition chain is carried out. GARCH effects are also built into the … model to account for the conditional heteroskedasticity. Short-term forecasts based on the regime-switching model are also … fundamental models. Volatility which cannot be explained by fundamentals plays an essential role in natural gas price behavior …