Regime-Switching Temperature Dynamics Model for Weather Derivatives

<table class="fixed-width table-group" id="tab4"><tr><td><table class="table"><colgroup><col style="width:4.18em"/><col style="width:6.74em"/><col style="width:4.36em"/><col style="width:3.75em"/><col style="width:4.00em"/><col style="width:3.90em"/><col style="width:5.06em"/><col style="width:4.63em"/><col style="width:7.69em"/></colgroup><tr><td class="thead-hr" colspan="9"><hr/></td></tr><tr class="thead"><td class="align_left"> </td><td class="align_center"> Mean </td><td class="align_center"> Median </td><td class="align_center"> std </td><td class="align_center"> Min </td><td class="align_center"> Max </td><td class="align_center"> Skewness </td><td class="align_center"> Kurtosis </td><td class="align_center"> Hurst Exponent </td></tr><tr><td class="thead-hr" colspan="9"><hr/></td></tr><tr><td class="align_left">Bole</td><td class="align_center"> 1.0873 <svg height="11.9413pt" id="M75" style="vertical-align:-0.3499002pt" version="1.1" viewbox="-0.0498162 -11.5914 35.2617 11.9413" width="35.2617pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M528 54L331 254L528 455L492 493L294 291L96 493L60 455L257 254L60 54L96 16L294 217L492 16L528 54Z" id="g117-42"></path></g><g transform="matrix(.013,0,0,-0.013,7.631,0)"><path d="M384 0V27C293 34 287 42 287 114V635C232 613 172 594 109 583V559L157 557C201 555 205 550 205 499V114C205 42 199 34 109 27V0H384Z" id="g113-50"></path></g><g transform="matrix(.013,0,0,-0.013,13.871,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z" id="g113-49"></path></g><g transform="matrix(.0091,0,0,-0.0091,20.111,-5.741)"><path d="M556 236V289H56V236H556Z" id="g54-33"></path></g><g transform="matrix(.0091,0,0,-0.0091,25.671,-5.741)"><path d="M245 635C92 635 37 457 37 312C37 149 91 -12 244 -12C395 -12 449 166 449 312C449 469 395 635 245 635ZM243 598C332 598 358 454 358 312C358 173 334 26 245 26C158 26 128 174 128 313S152 598 243 598Z" id="g50-49"></path></g><g transform="matrix(.0091,0,0,-0.0091,30.103,-5.741)"><path d="M141 347C171 480 264 541 327 570C364 587 403 599 436 605L429 641C389 634 339 622 300 609C191 570 37 458 37 239C37 86 126 -12 245 -12C367 -12 454 89 454 210C454 314 380 397 272 397C252 397 230 390 208 380L141 347ZM231 338C323 338 366 257 366 174C366 108 340 27 263 27C180 27 129 123 129 244C129 268 130 292 135 310C158 323 193 338 231 338Z" id="g50-55"></path></g></svg></td><td class="align_center"> 0.0879</td><td class="align_center"> 1.2995</td><td class="align_center"> -7.7166</td><td class="align_center"> 5.5563</td><td class="align_center"> -0.4181</td><td class="align_center"> 3.9910</td><td class="align_center"> 0.7718</td></tr><tr><td class="align_left">Tamale</td><td class="align_center"> 3.6874 <svg height="11.9413pt" id="M76" style="vertical-align:-0.3499002pt" version="1.1" viewbox="-0.0498162 -11.5914 35.2617 11.9413" width="35.2617pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M528 54L331 254L528 455L492 493L294 291L96 493L60 455L257 254L60 54L96 16L294 217L492 16L528 54Z" id="g117-42"></path></g><g transform="matrix(.013,0,0,-0.013,7.631,0)"><path d="M384 0V27C293 34 287 42 287 114V635C232 613 172 594 109 583V559L157 557C201 555 205 550 205 499V114C205 42 199 34 109 27V0H384Z" id="g113-50"></path></g><g transform="matrix(.013,0,0,-0.013,13.871,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z" id="g113-49"></path></g><g transform="matrix(.0091,0,0,-0.0091,20.111,-5.741)"><path d="M556 236V289H56V236H556Z" id="g54-33"></path></g><g transform="matrix(.0091,0,0,-0.0091,25.671,-5.741)"><path d="M245 635C92 635 37 457 37 312C37 149 91 -12 244 -12C395 -12 449 166 449 312C449 469 395 635 245 635ZM243 598C332 598 358 454 358 312C358 173 334 26 245 26C158 26 128 174 128 313S152 598 243 598Z" id="g50-49"></path></g><g transform="matrix(.0091,0,0,-0.0091,30.103,-5.741)"><path d="M141 347C171 480 264 541 327 570C364 587 403 599 436 605L429 641C389 634 339 622 300 609C191 570 37 458 37 239C37 86 126 -12 245 -12C367 -12 454 89 454 210C454 314 380 397 272 397C252 397 230 390 208 380L141 347ZM231 338C323 338 366 257 366 174C366 108 340 27 263 27C180 27 129 123 129 244C129 268 130 292 135 310C158 323 193 338 231 338Z" id="g50-55"></path></g></svg></td><td class="align_center"> 0.1328</td><td class="align_center"> 1.5431</td><td class="align_center"> -7.3353</td><td class="align_center"> 5.6889</td><td class="align_center"> -0.4947</td><td class="align_center"> 3.6699</td><td class="align_center"> 0.7029</td></tr><tr class="table-tr"><td colspan="9"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Descriptive statistics of final residuals of Bole and Tamale.</div>

International Journal of Stochastic Analysis

tab4

Table 4

Table 4: Regime-Switching Temperature Dynamics Model for Weather Derivatives 