Forecasting Natural Gas Futures Price Volatility of the United States: National Versus State-Level Climate Concern Indexes
Journal of Futures Markets, cilt.46, sa.7, ss.1275-1297, 2026 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 46 Sayı: 7
- Basım Tarihi: 2026
- Doi Numarası: 10.1002/fut.70108
- Dergi Adı: Journal of Futures Markets
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM, EconLit, Public Affairs Index, vLex
- Sayfa Sayıları: ss.1275-1297
- Anahtar Kelimeler: climate concerns, forecasting, global economic conditions, natural gas price volatility
- Hacettepe Üniversitesi Adresli: Evet
Özet
This paper uses GARCH-MIDAS to predict US natural gas futures volatility using national and state-level Climate Concern Indexes (CCIs). We find that both national and state-level CCIs positively affect price volatility. Notably, models using state-level data—specifically those utilizing least-squares (LS) weighting combinations—surpass the GARCH-MIDAS-GECON benchmark and models relying solely on national CCI. These findings deliver substantial statistical and economic utility gains. Our results underscore the importance of incorporating heterogeneous climate concerns across US states to capture varied demand-supply conditions when forecasting energy market volatility.