Given the high degree of uncertainty about future prices of natural gas, electric company system planners often need estimates of the probability distribution of natural gas prices, not just a point forecast. One way to estimate the uncertainty associated with future natural gas prices is through statistical analysis of historical futures prices. This study explains how statistical analysis of historical natural gas futures prices can be used in conjunction with a current forward price curve to construct a statistical forecast of future natural gas prices. The objectives of this project are to: (i) explain how natural gas price volatility can be estimated using historical futures prices; (2) describe the relationship between natural gas fuel price volatility and the variance of prices at different forecast time horizons; and, (iii) communicate these findings to members of the EPRI Natural Gas Interest Group (NGIG). This presentation is designed to accompany the EPRI Natural Gas Price Volatility Estimation Tool (NatGasVet) Prototype version 1.0 software.