NatGas: neg. implied period to period volas

doobs · Post by **doobs** » Mon Nov 05, 2007 5:25 pm

What is wrong with adding seasonality? As suggested by the other members?

CommOddity · Post by **CommOddity** » Wed Nov 07, 2007 3:24 pm

>What is wrong with adding seasonality? As suggested by the other members?

...I think it's reasonable: I don't have very clear [i]how[/i] to estimate the seasonality of volatility and at the same time been consistent with market cumulative vols.

In the past I've been dealing with price processes which incorporate seasonality (power models like Lucia Scwhartz) but I don't have many clues on how to do it on volatility.

If there's any reference/paper would be very welcome!

thks all

doobs · Post by **doobs** » Thu Nov 08, 2007 6:17 pm

Calibration will not be easy!

Take a look at this paper,

http://www.caf.dk/MMF2006/fetch.php?id=16&field=paper

but you can also look into GARCH type models for estimating the seasonality of volatility.

CommOddity · Post by **CommOddity** » Fri Nov 09, 2007 10:20 am

Thks doobs, I'll check it out...