Volatility Modeling of U.S. Metropolitan Retail Gasoline Prices: An Empirical Note

This empirical note examines the time-varying nature of volatility in retail gasoline prices across ten U.S. metropolitan markets. We employ the exponential GARCH (EGARCH) model to determine the asymmetry and persistence of shocks across metropolitan areas. Our ndings indicate the presence of time-varying volatility in metropolitan retail gasoline prices. Furthermore, the results show that persistence associated with volatility shocks ranges from 0.616 (Miami) to 0.968 (Chicago) with the persistence coecient being statistically less than one across all metropolitan markets. We also observe the presence of asymmetries in the volatility of retail gasoline prices in six of the ten metropolitan markets.