The Stochastic Seasonal Behaviour of Natural Gas Prices
提出一个包含随机季节性因子的商品价格模型，应用于NYMEX天然气期货数据，发现随机季节性模型优于确定性季节性模型，且波动率呈现季节性模式，对期权定价有重要影响。
Abstract Previous studies have explored the seasonal behaviour of commodity prices as a deterministic factor. This paper goes further by proposing a general (n+2m)‐factor model for the stochastic behaviour of commodity prices, which nests the deterministic seasonal model by Sorensen (2002) . We consider seasonality as a stochastic factor, with n non‐seasonal and m seasonal factors. The non‐seasonal factors are as defined in Schwartz (1997) , Schwartz and Smith (2000) and Cortazar and Schwartz (2003) . The seasonal factors are trigonometric components generated by stochastic processes. The model has been applied to the Henry Hub natural gas futures contracts listed by NYMEX. We find that models allowing for stochastic seasonality outperform standard models with deterministic seasonality. We obtain similar results with other energy commodities. Moreover, we find that stochastic seasonality implies that the volatility of futures returns follows a seasonal pattern. This result has important implications in terms of option pricing.