2020-06-26T11:00:54Z

2020-06-26

Default License

Natural gas markets

masterThesis

free

School of Science and Technology, MSC in Energy and Finance

This dissertation was written as a part of the MSc in Energy and Finance at the International Hellenic University. The purpose of the study is to examine the hedging effectiveness of natural gas prices using different econometric models including least squares regression, vector autoregression, exponential weighted moving average variance-covariance, GARCH models and regime switching. The recent literature suggests that conventional methods are inefficient, however, more sophisticated and complex methods do not achieve superior results in terms of variance reduction of the hedged portfolio. Using natural gas Henry Hub prices in the United States, optimal hedge ratio is estimated through different techniques for two different hedging horizons (weekly vs. monthly), and then relative performances are being assessed to determine relative gains. Finally, cash flow variance reduction from hedging is examined for periods of backwardation and contango and finding suggests marked asymmetries.

Apergis, Nikolaos

Pouliasis, Panos

ihu