We investigate the information content of five uncertainty indices for the US natural gas futures volatility forecasting. Our investigation is based on the GARCH-MIDAS framework. The in-sample outcomes suggest that most of uncertainty indices have a crucial effect on natural gas futures volatility. And the out-of-sample prediction results indicate that the geopolitical risk (GPR) and equity market volatility (EMV) indices contain more useful information for natural gas futures volatility. Moreover, according to the empirical results of special periods, we observe that the EMV index exhibits superior predictive ability under the periods of postcrisis, expansions, and low volatility. Our results are confirmed by several robustness checks.

中文翻译：

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天然气期货波动率预测不确定性指数的信息含量

我们研究了美国天然气期货波动率预测的五个不确定性指数的信息含量。我们的调查基于 GARCH-MIDAS 框架。样本内的结果表明，大多数不确定性指数对天然气期货的波动性有至关重要的影响。样本外预测结果表明，地缘政治风险（GPR）和股票市场波动率（EMV）指数包含更多关于天然气期货波动率的有用信息。此外，根据特殊时期的实证结果，我们观察到EMV指数在后危机时期、扩张时期和低波动时期表现出优越的预测能力。我们的结果得到了多项稳健性检查的证实。