The Scientific World Journal / 2014 / Article / Tab 4

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 EqnNNFNNHFHMean EqnNNFNNHFH
VariablesCoefficients ( value)VariablesCoefficients ( value)

0.14640.15950.09210.0933 0.10600.13820.88160.0914
( 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**−0.00010.0000EINVZ−0.0095*−0.0104**−0.00010.0000
( 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 EqnCoefficients ( value)Variance EqnCoefficients ( value)

0.23750.541***−0.03950.0349 0.12622.8616***−0.08220.0000
( 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)

WIN0.1474−0.17910.1671*0.1348*WIN0.1495−0.24030.14150.1165
( value)(−0.4743)(0.4894)(0.0535)(0.0723)( value)(0.3728)(0.4829)(0.1033)(0.1029)

IDZ2.6683**−2.1726***1.3818*0.8908IDZ2.1381*2.7170***1.4443**0.9592
( value)(−0.0329)(0.0011)(0.0577)(0.1852)( value)(0.0839)(0.0006)(0.0446)(0.1491)

STM1.01450.7189−0.0752−0.016STM1.08281.7002−0.0616−0.0755
( 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 coeff0.92290.98990.94860.9496Sum of coeff0.93910.67130.95240.9524

Log likelihood−2661.77−2591.84−2273.66−2207.37Log likelihood−2662.70−2604.80−2273.78−2207.65

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.