We make a comparative study of Multifractal Detrended Fluctuation Analysis(MF-DFA) and the Wavelet Transform Modulus Maxima (WTMM) method todetect multifractal character of natural gas daily returns. We give a briefintroduction on above methods and compare their effectiveness. The results fromthis methodoligies show that behaviour of natural gas daily returns weremultifractal. The major sources of multifractality are long-range correlations ofsmall and large fluctuations andFat-tail distributions of the series.