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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: "VISIT PHUNNARUNGSI" <visit_thailand@hotmail.com<@ENRON X-To: Les_Clewlow@compuserve.com, Kaminski, Vince J </O=ENRON/OU=NA/CN=RECIPIENTS/CN=VKAMINS< X-cc: chris@lacimagroup.com, julie@lacimagroup.com, 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 Les, Thank you very much for your kindness and suggestion, I will try and inform you. Kindest regards, Visit <From: "Les Clewlow" <To: , <CC: "Chris Strickland" , "Julie Brennan" , "Michael Booth" <Subject: RE: Please advice on the estimate of mean reversion rate for electricity price <Date: Wed, 7 Nov 2001 23:28:13 +0100 < <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 < Get your FREE download of MSN Explorer at http://explorer.msn.com
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