Weather Forecasting for Weather Derivatives



Figure 1: Time-Series Plots, Daily Average Temperature

100


Atlanta


Chicag o


Las Vegas


Philadelphia


80

60

40

20

0

-20

1996    1997    1998    1999    2000    2001

1996    1997    1998    1999    2000    2001

1996    1997    1998    1999    2000    2001

1996    1997    1998    1999    2000    2001


Figure 2: Estimated Unconditional Distributions, Daily Average Temperature

Atlanta


.032∙

.028∙

.024∙

.020∙

.016-

.012-

.008∙

.004 •

.000-


-20 -10 0 10 20 30 40 50 60 70 80 90 100




.032∙

.028∙

.024∙

.020∙

.016-

.012∙

.008∙

.004∙

.000∙


Philadelphia



-20 -10 0 10 20 30 40 50 60 70 80 90 100


Figure 3: Estimated Model Residuals, Daily Average Temperature

Atlanta


Chicag o


Las Vegas


Philadelphia


30

20

10

0

-10

-20

-30


1996    1997    1998    1999    2000    2001

1996    1997    1998    1999    2000    2001

1996    1997    1998    1999    2000    2001

1996    1997    1998    1999    2000    2001


Figure 4: Estimated Unconditional Distribution of Residuals, Daily Average Temperature

Atlanta


-20        -10

10        20



.14.

.12-

,10.

.08.

.06.

.04.

.02∙

.00-


Las Vegas


-20         -1 0          0          10          20





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