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A Conditionally Heteroskedastic Model with Time-varying Coefficients for Daily Gas Spot Prices

Zakoïan, Jean-Michel; Regnard, Nazim (2011), A Conditionally Heteroskedastic Model with Time-varying Coefficients for Daily Gas Spot Prices, Energy Economics, 33, 6, p. 1240-1251. http://dx.doi.org/10.1016/j.eneco.2011.02.004

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FDD_CAHIERCHAIRE25.pdf (510.7Kb)
Type
Article accepté pour publication ou publié
Date
2011
Journal name
Energy Economics
Volume
33
Number
6
Publisher
Elsevier
Pages
1240-1251
Publication identifier
http://dx.doi.org/10.1016/j.eneco.2011.02.004
Metadata
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Author(s)
Zakoïan, Jean-Michel
Regnard, Nazim
Abstract (EN)
This paper examines the relationship between gas spot prices at the Zeebrugge market, one-month ahead Brent prices and temperatures over the period 2000–2005. A cointegration analysis is carried out and it is discovered that a cointegration relationship exists between the three series. To take into account the influence of temperature on the gas volatility, a GARCH(1,1) model with temperature-dependent coefficients is considered. Stability and estimation properties are discussed. An empirical finding is the existence of distinct volatility regimes for the volatility of gas prices, depending on the temperature level.
Subjects / Keywords
Quasi-Maximum Likelihood Estimation; Time-Varying Coefficients; Periodic models; GARCH; Nonstationary Models; Gas Prices
JEL
C13 - Estimation: General
G13 - Contingent Pricing; Futures Pricing
C73 - Stochastic and Dynamic Games; Evolutionary Games; Repeated Games

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