Download or read book Long-Term Price Forecasts for European Crude Oil and Natural Gas Markets written by Michael Wator and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This master's thesis investigates the volatility dynamics of the European crude oil benchmark Brent and the European natural gas trading hub National Balancing Point (NBP). The empirical analysis is based on daily prices and returns ranging from January 2000 to March 2014 for Brent and from September 2007 to March 2014 for NBP. This thesis provides background information on the European crude oil and natural gas markets including factors influencing oil and gas prices and the historical development of these two markets. The empirical analysis of the daily prices and returns reveals profound information on the statistical properties and on the factors influencing Brent and NBP prices during the sample period. We employ three univariate and two multivariate GARCH models. The simple GARCH and two of its asymmetric extensions, the TGARCH and EGARCH are employed in the univariate framework, whereas the Constant Conditional Correlation (CCC) and the diagonal BEKK specification are used in the multivariate setting. We find strong evidence of volatility persistence of Brent and NBP returns. The volatility is found to react more to unexpected negative returns than to positive ones, signifying the leverage effect of negative shocks. Furthermore, there exists a limited positive correlation among the volatilities of Brent and NBP, where Brent shows a stronger influence on NBP.