Unit root properties of natural gas spot and futures prices: The relevance of heteroskedasticity in high frequency data

We apply a unit root test that allows for heteroskedasticity and two structural breaks to daily data for natural gas spot and futures prices. In contrast to previous findings, the main result is that natural gas spot and futures prices are mean reverting. More generally, the results emphasize the need to allow for heteroskedasticity when applying unit root tests to energy spot and futures prices with high frequency data, such as daily data.

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Year of publication:	2014-04
Authors:	Mishra, Vinod ; Smyth, Russell
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	Natural gas spot and futures prices \| unit root \| heteroskedasticity

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Extent:	application/pdf
Series:	Monash Economics Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 20-14 18 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010780699