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

dc.contributor.authorZakoïan, Jean-Michel
dc.contributor.authorRegnard, Nazim
dc.date.accessioned2009-12-03T09:40:32Z
dc.date.available2009-12-03T09:40:32Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2603
dc.language.isoenen
dc.subjectQuasi-Maximum Likelihood Estimationen
dc.subjectTime-Varying Coefficientsen
dc.subjectPeriodic modelsen
dc.subjectGARCHen
dc.subjectNonstationary Modelsen
dc.subjectGas Prices
dc.subject.ddc332en
dc.subject.classificationjelC13en
dc.subject.classificationjelG13en
dc.subject.classificationjelC73en
dc.titleA Conditionally Heteroskedastic Model with Time-varying Coefficients for Daily Gas Spot Pricesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis 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.en
dc.relation.isversionofjnlnameEnergy Economics
dc.relation.isversionofjnlvol33
dc.relation.isversionofjnlissue6
dc.relation.isversionofjnldate2011
dc.relation.isversionofjnlpages1240-1251
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.eneco.2011.02.004
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelEconomie financièreen


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