Message-ID: <27636827.1075862460495.JavaMail.evans@thyme>
Date: Thu, 8 Nov 2001 01:02:08 -0800 (PST)
From: visit_thailand@hotmail.com
Subject: RE: Please advice on the estimate of mean reversion rate for
 electricity price
Cc: chris@lacimagroup.com, julie@lacimagroup.com, michael@lacimagroup.com
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X-From: "VISIT PHUNNARUNGSI" <visit_thailand@hotmail.com>@ENRON
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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  
>  
>  
>  
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