Simmering tensions on the Russia–Ukraine border and natural gas futures prices: identifying the impact using new hybrid GARCH
Abstract 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 mo...
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| Autore principale: | |
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| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
SpringerOpen
2024-05-01
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| Serie: | Energy Informatics |
| Soggetti: | |
| Accesso online: | https://doi.org/10.1186/s42162-024-00336-0 |
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