Studying variations of natural gas prices in relation to consumer prices may give us better indicators for the analysis of economic activity. This paper deals with the analysis of natural gas spot prices using fractional integration techniques in the context of non-linear deterministic trends. We find nonstationarity with mean reverting coefficients (i.e., orders of integration in the range (0.5, 1)) in the daily and monthly series, as well as in their logarithmic transformations. Evidences of non-linearities are only obtained in the monthly series which may be a consequence of the higher degree of volatility associated with this frequency.

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