Returns and volatility in the NYMEX Henry Hub natural gas futures market

Abstract

Abstract In this paper we use autoregressive conditional heteroscedasticity‐type models to investigate the determinants of returns and volatility in the New York Mercantile Exchange Henry Hub natural gas futures contract market. Using daily data for the period that natural gas has been traded on the exchange, we find significant evidence of seasonal and open interest effects in both, returns and volatility.