De-seasonalizing Natural Gas Term structure data

[Hoshang Daroga]

Hi,

I need to de-seasonalize Nat Gas futures data for a project and am hoping to get good suggestions.
As we all know natural gas futures are priced higher for the winter months and to analyze/model the term structure we need to de-seasonalize the data.

Any ideas how would one do it?

Thanks in advance!
Hosh

 

[Ken Abbott]

Hi,

I need to de-seasonalize Nat Gas futures data for a project and am hoping to get good suggestions.
As we all know natural gas futures are priced higher for the winter months and to analyze/model the term structure we need to de-seasonalize the data.

Any ideas how would one do it?

Thanks in advance!
Hosh

2 ways I can think of, SARIMA (or X-13 variant) or FFT. PM me if you want an FFT paper.