["Journal of Futures Markets, EarlyView. ", "\nABSTRACT\nThis paper uses GARCH‐MIDAS to predict US natural gas futures volatility using national and state‐level Climate Concern Indexes (CCIs). We find that both national and state‐level CCIs positively affect price volatility. Notably, models using state‐level data—specifically those utilizing least‐squares (LS) weighting combinations—surpass the GARCH‐MIDAS‐GECON benchmark and models relying solely on national CCI. These findings deliver substantial statistical and economic utility gains. Our results underscore the importance of incorporating heterogeneous climate concerns across US states to capture varied demand‐supply conditions when forecasting energy market volatility.\n"]