Persistence in Some Energy Futures Markets

  1. Cuñado Eizaguirre, Juncal
  2. Gil Alaña, Luis Alberiko
  3. Pérez de Gracia Hidalgo, Fernando
Journal:
Notas técnicas: [continuación de Documentos de Trabajo FUNCAS]

ISSN: 1988-8767

Year of publication: 2008

Issue: 434

Type: Working paper

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Abstract

In this paper, we examine the possibility of long range dependence in some energy futures markets for different maturities. In order to test for persistence, we use a variety of techniques based on non-parametric, semiparametric and parametric methods. The results indicate that there is little or no evidence of long memory in gasoline, propane, oil and heating oil at different maturities. However, when we focus on the volatility process, proxied by the absolute returns, we find strong evidence of long memory in all the variables at different contracts.

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