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Forecasting Natural Gas Futures Price Volatility of the United States: National Versus State‐Level Climate Concern Indexes

Author

Listed:
  • Afees A. Salisu
  • Ahamuefula E. Ogbonna
  • Rangan Gupta
  • Onur Polat

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.

Suggested Citation

  • Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Onur Polat, 2026. "Forecasting Natural Gas Futures Price Volatility of the United States: National Versus State‐Level Climate Concern Indexes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(7), pages 1275-1297, July.
    • Handle: RePEc:wly:jfutmk:v:46:y:2026:i:7:p:1275-1297
    DOI: 10.1002/fut.70108
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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