Download or read book Volatility in Natural Gas and Oil Markets written by Robert S. Pindyck and published by . This book was released on 2003 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using daily futures price data, I examine the behavior of natural gas and crude oil price volatility since 1990. I test whether there has been a significant trend in volatility, whether there was a short-term increase in volatility during the time of the Enron collapse, and whether natural gas and crude oil price volatilities are interrelated. I also measure the persistence of shocks to volatility and discuss its implications for gas-and oil-related contingent claims.