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Financial Innovation

Table 7 Best model and effects of financial assets on natural gas volatility

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

 

Daily (%)

Weekly (%)

Monthly (%)

Model

HAR

59.3

43.8

41.7

LSTM

40.7

56.2

58.3

Variable

BRENT

38.1

50.0

35.0

EURO

55.3

62.0

70.0

XAU

29.4

35.9

45.0

SPX

36.2

40.2

30.0

  1. Percentage of days, weeks and months as the best model to forecast the Natural Gas realized volatility and effect of financial asset which explained by the Natural Gas volatility
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