Journal of Resources and Ecology ›› 2019, Vol. 10 ›› Issue (4): 415-423.doi: 10.5814/j.issn.1674-764X.2019.04.008
• Resource Economy • Previous Articles Next Articles
Tesfahun BERHANE*(
), Aemiro SHIBABAW, Gurju AWGICHEW
Received:2018-11-16
Accepted:2019-03-22
Online:2019-07-30
Published:2019-07-30
Contact:
Tesfahun BERHANE
E-mail:tesfahunb2002@gmail.com
About author:First author: WANG Tong, E-mail:
Tesfahun BERHANE,Aemiro SHIBABAW,Gurju AWGICHEW. Pricing Weather Derivatives Index based on Temperature: The Case of Bahir Dar, Ethiopia[J].Journal of Resources and Ecology, 2019, 10(4): 415-423.
Fig. 1
Daily average temperature data in Bahir Dar"
Fig. 2
Autocorrelation function (ACF) of daily average temperature data in Bahir Dar"
Table 1
Estimated value of seasonal parameters"
| Parameter | a | b | a1 | a2 | b1 | b2 |
|---|---|---|---|---|---|---|
| Value | 19.3628 | 0.0002 | 1.2086 | -0.7071 | 1.3632 | -1.2230 |
Table 2
Estimates of parameters of AR (3) process"
| Parameters | ${{\beta }_{1}}$ | ${{\beta }_{2}}$ | ${{\beta }_{3}}$ |
|---|---|---|---|
| Values | $0.56352$ | $0.12533$ | $0.067029$ |
Fig. 3
Daily average temperature together with the fitted seasonal function"
Fig. 4
The PACF of the residuals of DATs after removing linear trend and seasonal component"
Fig. 5
The ACF for the residuals of the AR (3) model of the de-trended and de-seasonalized Bahir Dar average daily data"
Fig. 6
The ACF of the squared residuals of the AR (3) model of the de-trended and de-seasonalized Bahir Dar average daily data"
Table 3
Estimated value of volatility parameters"
| Parameters | c | c1 | d1 |
|---|---|---|---|
| Values | 0.9686 | 0.4372 | 0.0403 |
Fig. 7
Daily squared volatility together with the fitted volatility function σ2(t)"
Fig. 8
The ACF of the squared residuals of the AR (3) model after dividing out the volatility function σ(t) from the regression residuals"
Table 4
Estimates of parameters of CAR (3) process volatility parameters"
| Parameters | ${{\alpha }_{1}}$ | ${{\alpha }_{2}}$ | ${{\alpha }_{3}}$ |
|---|---|---|---|
| Values | $2.43648$ | $1.74763$ | $0.24086$ |
Table 5
Observed and simulated values of CDD"
| Month | Observed | Simulated |
|---|---|---|
| April | $99.655$ | $102.7946$ |
| May | $102.4135$ | $107.4860$ |
| June | $70.005$ | $71.2982$ |
Fig. 9
The monthly evolution of the monthly mean temperature"
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