{"title":"俄罗斯和乌克兰边境的紧张局势与天然气期货价格:利用新的混合 GARCH 确定影响","authors":"Chikashi Tsuji","doi":"10.1186/s42162-024-00336-0","DOIUrl":null,"url":null,"abstract":"<div><p>Focusing on the Russia–Ukraine war, this paper investigates natural gas futures volatilities. Applying several hybrid GARCH and EGARCH models, which innovatively incorporate both fat-tailed distribution errors and structural breaks, we derive the following new evidence. First, our hybrid modeling approach is effective in timely capturing the natural gas futures volatility spike when tensions simmered on the Russia–Ukraine border. Second, the hybrid modeling approach is effective for not only GARCH modeling but also EGARCH modeling. Third, the volatility estimates from our hybrid models have predictive power for the volatilities of nonhybrid models. Fourth, the volatility estimates from the nonhybrid models lag behind the volatilities of our hybrid models.</p></div>","PeriodicalId":538,"journal":{"name":"Energy Informatics","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2024-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://energyinformatics.springeropen.com/counter/pdf/10.1186/s42162-024-00336-0","citationCount":"0","resultStr":"{\"title\":\"Simmering tensions on the Russia–Ukraine border and natural gas futures prices: identifying the impact using new hybrid GARCH\",\"authors\":\"Chikashi Tsuji\",\"doi\":\"10.1186/s42162-024-00336-0\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Focusing on the Russia–Ukraine war, this paper investigates natural gas futures volatilities. Applying several hybrid GARCH and EGARCH models, which innovatively incorporate both fat-tailed distribution errors and structural breaks, we derive the following new evidence. First, our hybrid modeling approach is effective in timely capturing the natural gas futures volatility spike when tensions simmered on the Russia–Ukraine border. Second, the hybrid modeling approach is effective for not only GARCH modeling but also EGARCH modeling. Third, the volatility estimates from our hybrid models have predictive power for the volatilities of nonhybrid models. Fourth, the volatility estimates from the nonhybrid models lag behind the volatilities of our hybrid models.</p></div>\",\"PeriodicalId\":538,\"journal\":{\"name\":\"Energy Informatics\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-05-14\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://energyinformatics.springeropen.com/counter/pdf/10.1186/s42162-024-00336-0\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Energy Informatics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://link.springer.com/article/10.1186/s42162-024-00336-0\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"Energy\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Energy Informatics","FirstCategoryId":"1085","ListUrlMain":"https://link.springer.com/article/10.1186/s42162-024-00336-0","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"Energy","Score":null,"Total":0}
Simmering tensions on the Russia–Ukraine border and natural gas futures prices: identifying the impact using new hybrid GARCH
Focusing on the Russia–Ukraine war, this paper investigates natural gas futures volatilities. Applying several hybrid GARCH and EGARCH models, which innovatively incorporate both fat-tailed distribution errors and structural breaks, we derive the following new evidence. First, our hybrid modeling approach is effective in timely capturing the natural gas futures volatility spike when tensions simmered on the Russia–Ukraine border. Second, the hybrid modeling approach is effective for not only GARCH modeling but also EGARCH modeling. Third, the volatility estimates from our hybrid models have predictive power for the volatilities of nonhybrid models. Fourth, the volatility estimates from the nonhybrid models lag behind the volatilities of our hybrid models.