Modeling Electricity Price Dynamics Using Flexible Distributions

We consider the wholesale electricity market prices in England and Wales during its complete history, where price-cap regulation divestment series were introduced at different points time. compare impact of these regulatory reforms on dynamics prices. For this purpose, we apply flexible distributions that account for asymmetry, heavy tails, excess kurtosis usually observed data or model residuals. The application skew generalized error distribution is appropriate our case study. find after second divestments, price level volatility are lower than first divestments. This finding implies a sufficient horizontal restructuring through may be superior to regulation. conclusion could interesting other countries because served as benchmark liberalizing energy markets worldwide.