Regime-Switching Model on Hourly Electricity Spot Price Dynamics

Power Prices – A Regime - Switching Spot / Forward Price Model

On Electricity Spot Price Properties by t-innovation GARCH Model

The modeling of heteroskedasticities and kurtosises of electricity prices is crucial to forecast the future distribution of electricity prices, to understand the behavior of derivatives pricing and to quantify the risk in electricity markets. A GARCH model with t-innovations, which is solved by maximum likelihood estimation, is proposed. The model can explicitly address the relationship with sy...

The dynamics of hourly electricity prices ⋆

The dynamics of hourly electricity prices in day-ahead markets is an important element of competitive power markets that were only established in the last decade. In electricity markets, the market microstructure does not allow for continuous trading, since operators require advance notice in order to verify that the schedule is feasible and lies within transmission constraints. Instead agents ...

Reduced Form Electricity Spot Price Modeling

Since the early 1990s, an increasing number of countries worldwide have liberalized their electricity power sectors. Contrary to before, when power sectors were not open to competition and prices were set by regulators according to the cost of generation, transmission and distribution, electricity prices are now determined by an equilibrium of supply and demand. On one hand, electricity contrac...

An empirical comparison of alternate regime-switching models for electricity spot prices

a r t i c l e i n f o Keywords: Electricity spot price Spikes Markov regime-switching Heteroscedasticity Inverse leverage effect One of the most profound features of electricity spot prices are the price spikes. Markov regime-switching (MRS) models seem to be a natural candidate for modeling this spiky behavior. However, in the studies published so far, the goodness-of-fit of the proposed model...