Natural gas

Volatility (finance)

Futures contract

Economics

Futures market

Implied volatility

Organic chemistry

Political science

Realized variance

Econometrics

Financial economics

Volatility smile

Chemistry

Equity (law)

Autoregressive conditional heteroskedasticity

Journal of Forecasting

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.

The information content of uncertainty indices for natural gas futures volatility forecasting