Modeling the daily electricity price volatility with realized measures

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21230%2F14%3A00212838" target="_blank" >RIV/68407700:21230/14:00212838 - isvavai.cz</a>
Result on the web
<a href="http://www.sciencedirect.com/science/article/pii/S0140988314000425" target="_blank" >http://www.sciencedirect.com/science/article/pii/S0140988314000425</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.eneco.2014.03.001" target="_blank" >10.1016/j.eneco.2014.03.001</a>

Result language
angličtina
Original language name
Modeling the daily electricity price volatility with realized measures
Original language description
We propose using Realized GARCH-type models to estimate the daily price volatility in the EPEX power markets. The model specifications extract the volatility-related information from realized measures, which improves the in-sample fit of the data. More importantly, evidence on the out-of-sample predictability reinforces the value of the specifications, as the forecast quality is improved over the benchmark EGARCH model under eight conventional criteria. In particular, we show that the benefit of including intraday range as a realized measure is more substantial than realized variance. All the key findings are robust under rolling-window and recursive estimation schemes, Gaussian and skewed t-distribution assumptions on the innovation process, and alternative specifications on the predictable price component.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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