توجه به رابطه مشروط بین قیمت های انرژی : شواهدی از بازارهای آینده

We model the joint movements of daily returns on one-month futures for crude oil, heating oil and natural gas through the multivariate GARCH with dynamic conditional correlations and elliptical distributions introduced by Pelagatti and Rondena [Pelagatti, M.M., Rondena, S., 2007. “Dynamic Conditional Correlation with Elliptical Distributions”, unpublished manuscript. Universitá di Milano — Bicocca, August]. Futures prices of crude and heating oil covary strongly. The conditional correlation between the futures prices of natural gas and crude oil has been rising over the last 5 years. However, this correlation has been low on average over two thirds of the sample, suggesting that future markets have no established tradition of pricing natural gas as a function of developments on oil markets.

Energy commodities are widely priced in financial markets through futures on crude oil, natural gas and heating oil. Although a large amount of research has been devoted to studying the comovements between energy spot prices, little effort has been dedicated to the study of the joint movements among the prices of energy futures, an exception being Kirk (1996). In this note, we model the conditional correlation between the futures prices of energy traded in the New York Mercantile Exchange. We use the dynamic conditional correlation – DCC – model with leptokurtic distributions proposed by Pelagatti and Rondena (in press). This choice allows to estimate time-varying correlations of returns with heavy tails. The results indicate that the conditional correlation over the last 5 years between the futures prices of natural gas and crude oil has been rising. However, the correlation has been weak on average over two thirds of the sample. This suggests that future markets have no established tradition of pricing natural gas as a function of the developments on oil markets.

This note investigates the conditional correlation between the futures prices of energy traded daily in the New York Mercantile Exchange.We find that leptokurtosis is a key feature of the data. Hence, we resort to the extension of the DCC proposed by Pelagatti and Rondena (2007), and focus on leptukortic distributions for the returns. Our main results suggest that the conditional correlation between the futures prices of natural gas and crude oil has risen between 2001 and 2006. However, this correlation has been weak on average before 2001.