This study develops a one-month forward-looking natural gas volatility (NGVX), based on a state-preference framework. Both in-sample and out-of-sample forecasting results indicate that NGVX subsumes all the information contained in the future realized volatility and exhibits better predictive power than conventional volatility estimators. It serves as an unbiased consensus estimate of future uncertainty in the natural gas market. The day-of-the-week results reveal that NGVX decreases significantly from Wednesday to Thursday, when the weekly storage report is released. This suggests that market participants consider the storage reports as an important source of information for the valuation of natural gas. In addition, a strong seasonality tendency has been found in the natural gas market that NGVX increases when demand for heating or cooling is high. This study also confirms that the “inverse leverage effect” is present in the natural gas market that NGVX responds more to a positive shock than an equal negative shock.

本研究基于国家偏好框架开发了一个为期一个月的前瞻性天然气波动率 (NGVX)。样本内和样本外的预测结果都表明，NGVX 包含了未来已实现波动率中包含的所有信息，并且表现出比传统波动率估计器更好的预测能力。它是对天然气市场未来不确定性的公正一致的估计。星期几的结果显示，从周三到周四，当每周存储报告发布时，NGVX 显着下降。这表明市场参与者将存储报告视为天然气估值的重要信息来源。此外，在天然气市场中发现了强烈的季节性趋势，即当加热或冷却需求高时，NGVX 会增加。这项研究还证实，天然气市场中存在“反向杠杆效应”，即 NGVX 对积极冲击的反应比同等的消极冲击要多。