Evolving energies: Analyzing stability amidst recent challenges in the natural gas market

Abstract

The study explores the heightened volatility in the natural gas market resulting from the recent health crisis. Utilizing ARMA-Spline-GARCH, ARMA-Spline-GJR models, and PLS regression, an analysis of daily data from January 7, 1997, to December 31, 2021, reveals an accentuated volatility during the crisis, primarily driven by extreme weather conditions and natural gas storage dynamics. The PLS regression underscores eight significant components, with the dominant two explaining over 50% of the crisis’s impact. As the market navigates towards recovery, strategic risk management and adaptative measures become paramount for stability. These insights are instrumental for stakeholders and policymakers in developing responsive strategies to mitigate risks, highlighting the intricate interplay of historical and emergent factors shaping the market’s landscape. The findings underscore the necessity for resilience and adaptability amidst evolving global challenges to ensure the market’s sustainable future.