Shock-Driven Price Dynamics in the Dutch TTF Natural Gas Market: An Econometric Analysis of the 2022–2023 Crisis

The European natural gas market has experienced extreme volatility due to major exoge-nous shocks, including the COVID-19 pandemic and the Russia–Ukraine conflict. This study analyzes short-term price dynamics and volatility in the Dutch TTF market from January 2022 to June 2023 (78 weekly observations), treating this interval as a distinct cri-sis regime. A multiple linear regression is first employed to assess the contribution of key fundamentals, followed by ARIMAX models and conditional volatility specifications (GARCH and EWMA). Using 77 weekly observations, TTF returns display no significant autoregressive structure, indicating that price movements are primarily driven by external shocks. Among the regressors, only the EUR/USD exchange rate exhibits a stable and sig-nificant effect, underscoring the role of currency dynamics in European gas pricing. While ARIMAX adequately captures the mean process, GARCH fails to detect volatility persis-tence due to the dominance of isolated shocks. In contrast, EWMA provides more respon-sive and reliable volatility estimates under crisis conditions. Overall, the TTF market be-haves as a shock-driven system with high but short-lived volatility, offering implications for risk management, market monitoring, and energy policy.