In order to better realize the important role of compressed air energy storage (CAES) in participating in the frequency response service of the power system, it is necessary to accurately know its operating characteristics, and the prerequisite for analyzing the operating characteristics is to accurately construct the mathematical-physical model of CAES participating in the corresponding service. A compressed air energy storage (CAES) modeling method and its operational characteristics analysis method are proposed for CAES participation in power system frequency response auxiliary services. Aiming at the problem of low practicality and weak functionality of the control strategy adopted in the existing CAES participation service model due to the cumbersome and complex intermediate process, the dual closed-loop control strategy of PQ outer loop and current inner loop linkage is adopted for the participation in the auxiliary service of frequency response, which can better realize the three-stage grid-connection of CAES and the high efficiency of the response to the demand of active power regulation of the electric power system. Taking the 690V/50Hz, 500 kW CAES system as a case study, the model is constructed and simulated in MATLAB/Simulink, and the results show that the proposed strategy can enable CAES to better meet the frequency regulation demand of the power system, which in turn can better guarantee the safe, high-quality, and economic operation of the new type of power system.