Empirical Analysis of Anomalies in Price Volatility using High, Low, Open, and Close Prices of Oil and Natural Gas Futures

The purpose of this study is to clarify the seasonal effects of crude oil and natural gas futures by the volatility index using four-value data on the effects on price volatility. Specifically, it reexamines regarding the day-of-the-week effect, the monthly effect, and effects by period within a month. As a result, a day-of-the-week effect was observed, different from the well-known Monday effect in the stock market. The same tendency was revealed in the monthly effect. Although seasonal effects exist, individual effects are quite strong, suggesting that it depends on the characteristics of the commodity market.