Abstract
In recent years the world natural gas market is changing mainly due to the wider access to LNG (Liquefied Natural Gas). This technology allows to trade between the market participants all over the world. The natural gas prices on the American and European market are predominantly benchmarked to Henry Hub and National Balancing Point (NBP) natural gas. The goal of this paper is to compare basic properties of selected time series and to investigate whether the listings of natural gas in the derivatives markets are linked. We show that the probability distribution of returns is not normal and that there is a strong ARCH effect. We use multivariate GARCH model to describe the linkages between several series. We are taking into account two return series of natural gas futures contracts (Henry Hub and National Balancing Point) and two returns series of crude oil futures contracts (West Texas Intermediate and Brent) to measure the strength of linkages across two commodity markets, the most important fossil fuels.
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