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Financial Innovation

Table 4 Effect of financial assets on natural gas volatility

From: A hybrid econometrics and machine learning based modeling of realized volatility of natural gas

 

Days effect

Standardized effect

BRENT

206

38.1%

111

20.4%

EUR

299

55.3%

217

40.1%

XAU

159

29.4%

87

16.1%

SPX

196

36.2%

126

23.4%

  1. Days correspond to the number explained by the Natural Gas volatility. Standardized refers to days standardized by the number of variables explained each day
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