Modelling daily electricity prices at Austria Energy Exchange: linear vs. non-linear (regime-switching) M-R models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10225386" target="_blank" >RIV/61989100:27510/10:10225386 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Modelling daily electricity prices at Austria Energy Exchange: linear vs. non-linear (regime-switching) M-R models
Original language description
The paper is focused on the modelling electricity price. Because of the features occurring in the time series of electricity prices (i.e. high frequency, non-constant mean, autocorrelation, non-normal distribution, heteroscedasticity, seasonality, etc.),it is necessary to employ more sophisticated models for the purposes of their modelling. Therefore we concentrate on the regime-switching mean-reversion models using different transition function for switching the particular regime. We propose and compare linear and non-linear mean-reversion models for daily electricity prices at Austria Energy Exchange. The paper is organized as follows: first, general features of electricity prices and price formation at electricity deregulated markets are described.Next, linear and non-linear mean-reversion models are described including the model estimation via OLS and NLS method; finally, the empirical linear and non-linear models are proposed and compared in the sense of data fitting.
Czech name
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Czech description
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Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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