Abstract
India has been traditionally importing LNG from Qatar through long-term contracts where the prices have been indexed to Japanese crude cocktail (JCC) prices. However, India has plans to import LNG from the USA from the year 2018 where the LNG prices are indexed to Henry Hub (HH) natural gas prices. The paper aims at studying the volatility of these index prices using GARCH and EGARCH. The results show that HH prices have got both short run and long run shocks compared to JCC prices, which have got only short run shocks. The asymmetric effect was also calculated and leverage effects were found in HH prices. It is suggested to the Government of India to consider these volatility shocks for deciding source of imports and also indexing the prices in long-term contract. [Received: December 29, 2015; Accepted: October 5, 2016]
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