Modeling Temperature and Pricing Weather Derivatives Based on Temperature

Table 3

Parameter estimation for HDD calculations.

City	Year	A	B	C	Phase	b	Gamma_0	Gamma_1	Fast_Inten	Fast_Mean	Fast_sd	Slow_Inten	Slow_Mean	Slow_sd	Beta
Ankara	5	50.19	0.001854	21.32	−2.77	0.193962	95.952994	0.9637143	0.0016438	−0.5543834	0.4924429	0.0054795	−6.1314104	5.1345993	0.3835657
Beijing	5	56.73248	−0.00176	27.72651	−2.89336	0.372348	66.177766	0.9800345	0	0	0	0.00109589	−3.161959	2.420366	0.47568
Cairo	29	70.23189	0.000344	13.68758	−2.72869	0.345847	239.81369	0.9547672	0.0042513	−0.4124696	1.585721	0.00302315	−1.690717	2.075651	0.703044
Chicago	15	50.57	0.00014	24.71	−2.79	0.271967	117.25	0.961314	0.004414	−3.119119	2.524564	0.005632	−6.375580	5.517740	0.343206
Dallas	34	65.31678	0.000232	20.00168	−2.83072	0.298336	294.61489	0.936274	0.0045931	−2.4987494	2.391683	0.00604351	−6.1932845	4.966445	0.291944
Istanbul	9	58.54	0.00081	18.12	−2.67	0.237101	184.55	0.947974	0.004262	−0.958549	2.047743	0.002740	−3.133173	1.813471	0.562597
Los Angeles	21	63.82858	−0.0001	6.651395	−2.4675	0.230077	338.75801	0.9166473	0.0062622	0.3575345	1.352837	0.01108937	0.81062689	2.798516	0.460403
New York	7	54.63592	0.000548	21.77908	−2.71524	0.286476	165.02405	0.9447895	0.0015656	−1.6825421	2.360227	0.00508806	−3.8112152	3.30503	0.684576
Paris	6	54.58335	−0.00122	15.45061	−2.83361	0.21059	147.12152	0.9490173	0.0054795	−0.0954452	1.895953	0.00547945	−1.67898	3.505224	0.554255
Sydney	37	63.451	0.000154	9.494916	−2.8139	0.647759	526.99911	0.876059	0.0146612	1.5064313	2.606529	0.0033321	1.5601199	3.226385	0.911471
Tokyo	8	61.22	0.000375	18.38	−2.61866	0.530895	180.28	0.954846	0	0	0	0	0	0	0
Washington	34	58.62177		21.75468	−2.79459	0.279335	173.30119	0.9524289	0.0045125	−1.9805768	1.755655	0.00354553	−4.9014241	4.06658	0.388133

Year represents amount of data in years that produced best estimation results.
sd means standard deviation.