Modeling and Estimating Volatility of Day-Ahead Electricity Prices

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21230%2F21%3A00349968" target="_blank" >RIV/68407700:21230/21:00349968 - isvavai.cz</a>

Result on the web

<a href="https://doi.org/10.3390/math9070750" target="_blank" >https://doi.org/10.3390/math9070750</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.3390/math9070750" target="_blank" >10.3390/math9070750</a>

Result language

angličtina

Original language name

Modeling and Estimating Volatility of Day-Ahead Electricity Prices

Original language description

We model day-ahead electricity prices of the UK power market using skew generalized error distribution. This distribution allows us to take into account the features of asymmetry, heavy tails, and a peak higher than in normal or Student's t distributions. The adequacy of the estimated volatility model is verified using various tests and criteria. A correctly specified volatility model can be used for analyzing the impact of reforms or other events. We find that, after the start of the COVID-19 pandemic, price level and volatility increased.

Czech name

—

Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

50202 - Applied Economics, Econometrics

Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2021

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Mathematics

ISSN

2227-7390

e-ISSN

2227-7390

Volume of the periodical

9

Issue of the periodical within the volume

7

Country of publishing house

CH - SWITZERLAND

Number of pages

11

Pages from-to

1-11

UT code for WoS article

000638713100001

EID of the result in the Scopus database

2-s2.0-85104077760