Forecasting Natural Gas Futures Price Volatility of the United States: National Versus State‐Level Climate Concern Indexes
Abstract
ABSTRACT This paper uses GARCH‐MIDAS to predict US natural gas futures volatility using national and state‐level Climate Concern Indexes (CCIs). We find that both national and state‐level CCIs positively affect price volatility. Notably, models using state‐level data—specifically those utilizing least‐squares (LS) weighting combinations—surpass the GARCH‐MIDAS‐GECON benchmark and models relying solely on national CCI. These findings deliver substantial statistical and economic utility gains. Our results underscore the importance of incorporating heterogeneous climate concerns across US states to capture varied demand‐supply conditions when forecasting energy market volatility.
Fields of Study & Subjects
Market Dynamics and Volatility
Global Energy Security and Policy
Global Energy and Sustainability Research
Publication details
- Journal / source
- Journal of Futures Markets
- Publisher
- Wiley
- Volume
- 46
- Issue
- 7
- Pages
- 1275–1297
- Publication date
- 21 April 2026
- Language
- EN