Research Article
Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns
Table 4
Summary of the near-month and far-month energy futures prices.
| | A single weather station | | Multiple weather stations | | Mean Eqn | NN | FN | NH | FH | Mean Eqn | NN | FN | NH | FH | | Variables | Coefficients ( value) | Variables | Coefficients ( value) |
| | 0.1464 | 0.1595 | 0.0921 | 0.0933 | | 0.1060 | 0.1382 | 0.8816 | 0.0914 | | ( value) | (−0.2258) | (0.1416) | (0.2187) | (0.1938) | ( value) | (0.3851) | (0.2324) | (0.2406) | (0.2046) |
| | 0.062*** | 0.0488*** | 0.0315** | 0.0093** | | 0.1038*** | 0.0983*** | 0.0310* | 0.0287* | | ( value) | (−0.0037) | (0.0027) | (0.0389) |
(0.0442) | ( value) | (0.0017) | (0.0020) | (0.0583) | (0.0682) |
| | EINVZ | −0.0095* | −0.0141** | −0.0001 | 0.0000 | EINVZ | −0.0095* | −0.0104** | −0.0001 | 0.0000 | | ( value) | −0.0656 | (0.0435) | (0.1354) | (0.2134) | ( value) | (0.0738) | (0.0397) | (0.1551) | (0.2390) |
| | DJ | −0.2378* | −0.1876 | −0.3564*** | −0.4307*** | DJ | −0.2436 | −0.1586 | −0.3627*** | −0.4365*** | | ( value) | (−0.0985) | (0.2714) | (0.0007) | (0.0000) | ( value) | (0.1020) | (0.2667) | (0.0004) | (0.0000) |
| | Variance Eqn | Coefficients ( value) | Variance Eqn | Coefficients ( value) |
| | 0.2375 | 0.541*** | −0.0395 | 0.0349 | | 0.1262 | 2.8616*** | −0.0822 | 0.0000 | | ( value) | (−0.5209) | (0.0048) | (0.8130) | (0.8535) | ( value) | (0.7076) | (0.0025) | (0.6111) | (0.9994) |
| | ARCH(1) | 0.1273*** | 0.0230*** | 0.0460*** | 0.0246** | ARCH(1) | 0.1071*** | 0.1288*** | 0.0431*** | 0.0247** | | ( value) | (0.0000) | (0.0000) | (0.0020) | (0.0244) | ( value) | (0.0000) | (0.0000) | (0.0028) | (0.0196) |
| | GARCH(1) | 0.7956*** | 0.9669*** | 0.9026*** | 0.9250*** | GARCH(1) | 0.8321*** | 0.5425*** | 0.9092*** | 0.9277*** | | ( value) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | ( value) | (0.0000) | (0.0000) | (0.0000) | (0.0000) |
| | WIN | 0.1474 | −0.1791 | 0.1671* | 0.1348* | WIN | 0.1495 | −0.2403 | 0.1415 | 0.1165 | | ( value) | (−0.4743) | (0.4894) | (0.0535) | (0.0723) | ( value) | (0.3728) | (0.4829) | (0.1033) | (0.1029) |
| | IDZ | 2.6683** | −2.1726*** | 1.3818* | 0.8908 | IDZ | 2.1381* | 2.7170*** | 1.4443** | 0.9592 | | ( value) | (−0.0329) | (0.0011) | (0.0577) | (0.1852) | ( value) | (0.0839) | (0.0006) | (0.0446) | (0.1491) |
| | STM | 1.0145 | 0.7189 | −0.0752 | −0.016 | STM | 1.0828 | 1.7002 | −0.0616 | −0.0755 | | ( value) | (−0.1658) | (0.1017) | (0.6786) | (0.4876) | ( value) | (0.1036) | (0.1036) | (0.7282) | (0.5659) |
| | 0.1108*** | 0.0068** | 0.0246** | 0.0202** | | 0.1186*** | 0.1296** | 0.0278*** | 0.0227** | | ( value) | (0.0000) | (0.0164) | (0.0053) | (0.0145) | ( value) | (0.0000) | (0.0272) | (0.0026) | (0.0103) |
| | 0.0102*** | 0.0013*** | −0.0008 | −0.0011 | | 0.0169*** | 0.0381*** | −0.0003 | −0.0007 | | ( value) | (−0.0011) | (0.0021) | (0.5871) | (0.3258) | ( value) | (0.0031) | (0.0017) | (0.8652) | (0.6057) |
| | Sum of coeff | 0.9229 | 0.9899 | 0.9486 | 0.9496 | Sum of coeff | 0.9391 | 0.6713 | 0.9524 | 0.9524 |
| | Log likelihood | −2661.77 | −2591.84 | −2273.66 | −2207.37 | Log likelihood | −2662.70 | −2604.80 | −2273.78 | −2207.65 |
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1% significance level; 5% significance level; 10% significance level.
NN: near-month natural gas; NH: near-month heating oil; FN: far-month natural gas; FH: far-month heating oil.
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