Volatility Dynamics of NYMEX Natural Gas Futures Prices. Suenaga, H., Smith, A., & Williams, J. Journal of Futures Markets, 28(5):438–463, Wiley Subscription Services, Inc., A Wiley Company Hoboken, 2008.
Volatility Dynamics of NYMEX Natural Gas Futures Prices [pdf]Paper  abstract   bibtex   
We examine the volatility dynamics of NYMEX natural gas futures prices via the partially overlapping time‐series model of Smith (2005. Journal of Applied Econometrics, 20, 405–422). We show that volatility exhibits two important features: (1) volatility is greater in the winter than in the summer, and (2) the persistence of price shocks and, hence, the correlations among concurrently traded contracts, displays substantial seasonal and cross‐sectional variation in a way consistent with the theory of storage. We demonstrate that, by ignoring the seasonality in the volatility dynamics of natural gas futures prices, previous studies have suggested sub‐optimal hedging strategies.

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