MULTIFRACTAL BEHAVIOUR IN NATURAL GAS PRICES BY USING MF-DFA AND WTMM METHODS

Abstract

We make a comparative study of Multifractal Detrended Fluctuation Analysis (MF-DFA) and the Wavelet Transform Modulus Maxima (WTMM) method to detect multifractal character of natural gas daily returns. We give a brief introduction on above methods and compare their effectiveness. The results from this methodoligies show that behaviour of natural gas daily returns were multifractal. The major sources of multifractality are long-range correlations of small and large fluctuations and Fat-tail distributions of the series

Keywords

• Natural Gas, Multifractal, MF-DFA, WTMM

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