Modeling the daily electricity price volatility with realized measures

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Modeling the daily electricity price volatility with realized measures

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Modeling the daily electricity price volatility with realized measures

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název periodika

Energy Economics

ISSN

0140-9883

e-ISSN

—

Svazek periodika

44

Číslo periodika v rámci svazku

July

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

11

Strana od-do

492-502

Kód UT WoS článku

000339691900045

EID výsledku v databázi Scopus

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