Long memory in energy futures markets: Further evidence

This paper investigates long memory (or long-range dependence) in price returns and volatilities of energy futures contracts with different maturities. Based on a modified rescaled range analysis and three local Whittle methods, the results from rolling sample test suggest that the returns showed little or no long-range dependence over time but the volatilities displayed significant time-varying long-range dependence. Our evidence shows that some extreme events could cause long memory in returns and volatilities, leading to market inefficiency. Employing multiscale analysis, we find that the returns displayed no long-range dependence for any of the chosen time scales. Significant long-range dependence only existed in volatilities for daily time scales but not for monthly or yearly time scales.

► We test for long memory employing new developed methods. ► Long memories in returns and volatilities of energy prices are time-varying. ► Extreme events can cause long memory in volatilities of energy futures prices. ► Volatility persistence cannot be found in all of the time scales.