|
|
Enron Mail |
Cc: chris@lacimagroup.com, julie@lacimagroup.com, michael@lacimagroup.com
Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: chris@lacimagroup.com, julie@lacimagroup.com, michael@lacimagroup.com X-From: "Les Clewlow" <Les_Clewlow@compuserve.com< X-To: visit_thailand@hotmail.com, Kaminski, Vince J </O=ENRON/OU=NA/CN=RECIPIENTS/CN=VKAMINS< X-cc: Chris Strickland <chris@lacimagroup.com<, Julie Brennan <julie@lacimagroup.com<, Michael Booth <michael@lacimagroup.com< X-bcc: X-Folder: \VKAMINS (Non-Privileged)\Kaminski, Vince J\Inbox X-Origin: Kaminski-V X-FileName: VKAMINS (Non-Privileged).pst Dear Visit The results you have obtained are usually caused by regressing the lagged return instead of the leading return. That is you must regress the return of the period following the log price against which you regressing: dx = x(t+dt) - x(t) against x(t) Hope this helps. Regards Les. -----Original Message----- From: visit_thailand@hotmail.com [mailto:visit_thailand@hotmail.com] Sent: Friday, November 02, 2001 14:02 To: Vince.J.Kaminski@enron.com; chris_strickland@compuserve.com; les_clewlow@compuserve.com; contact@lacimagroup.com Subject: Please advice on the estimate of mean reversion rate for electricity price Dear All, My mane is Visit Phunnarungsi. I used to e-mail Vince Kaminski about the advice on his article "The Challenge of Pricing and Risk Managing Electricity Derivatives" and he had mailed me the copy. I am now modelling the Queensland electricity spot price using Geometric Brownian Mean Reverting Jump Diffusion Model and have followed your paper "Making the most of mean reversion" to estimate the mean reversion speed. I use Queensland half-hourly price during 13 December, 1998-30 June 2001 giving about 44,000 price observations. However, the result from Ordinary Least Squares was not as expected due to different sign for both slope & intercept. The coefficient and standard error are as followed: Intercept: -0.3931 (0.0076) Slope: 0.1171 (0.0022) R Square: 0.0585 Therefore I could not estimate the mean reversion rate as the estimated slope has the positive sign. I have also tried monthly data and the results are the same. It would be appreciated if you could advice me on this matter. Kindest regards, Visit Get your FREE download of MSN Explorer at http://explorer.msn.com
|