Weather Forecasting for Weather Derivatives



Figure 5: Correlogram of Squared Residuals, Daily Average Temperature

.15∙


,10.


.05∙


.00∙


-.05∙


-.10∙


-.15∙


Atlanta


C hicag o


Philade Ip hia


100   200   300  400   500   600   700   8 0


'15^Γ

.10-

-.10-


15 j-------------1-------------1-------------1-------------1-------------1-------------1-------------1-------------

100   200   300  400   500   600   700  800


Las Vegas


.15.


.10-


.05-


.00-


-.05-


'√V


-.10-


-.15 -------------1-------------1-------------1-------------1-------------1-------------1-------------1-------------

100   200  300  400   500   600   700   8 0


Figure 6: Estimated Conditional Standard Deviations, Daily Average Temperature

10-


2.


Atlanta

9-

8-

7-

6-

5-

4-

3-

1996    1997    1998    1999    2000    2001



Las Vegas

Philadelphia

10

10-

9-

9

1996    1997    1998    1999    2000    2001

1996    1997    1998    1999    2000    2001


Figure 7: Forecast Skill Relative to Persistence Forecast, Daily Average Temperature Point Forecasts


1.1-


0.3-τ


Chicago

1.0-

0.9-

0.8-

0.7-

0.6-

0.5-

0.4-


12345678 9 10 11




Figure 8: Forecast Skill Relative to Climatological Forecast, Daily Average Temperature

Atlanta


Chicag o


Las Vegas





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