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Financial Innovation

Table 5 Model and financial asset effects on natural gas volatility by realized volatility quartile

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

RVQ

N

HAR

LSTM

AR

BRENT

EUR

XAU

SPX

1

154

152

2

7

6.2

134.0

4.5

2.3

2

155

125

30

2

39.5

28.2

35.7

49.7

3

155

24

131

18

36.8

33.6

32.1

34.6

4

155

66

89

51

28.1

21.1

15.1

39.8

  1. RVQ is the Realized Volatility Quartile, and the effects are the standardized effects. AR refers to the lagged Natural Gas realized volatility
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