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Volatility In Natural Gas And Oil Markets

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  • Robert S. Pindyck
Abstract
Using daily futures price data, I examine the behavior of natural gas and crude oil price volatility since 1990. I test whether there has been a significant trend in volatility, whether there was a short-term increase in volatility during the time of the Enron collapse, and whether natural gas and crude oil price volatilities are interrelated. I also measure the persistence of shocks to volatility and discuss its implications for gas- and oil-related contingent claims.

Suggested Citation

  • Robert S. Pindyck, 2003. "Volatility In Natural Gas And Oil Markets," Working Papers 0312, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research.
    • Handle: RePEc:mee:wpaper:0312
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    File URL: http://tisiphone.mit.edu/RePEc/mee/wpaper/2003-012.pdf
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