Testing day-of-the-week persistence and seasonality in Spanish Electricity Energy prices

Olaoluwa Yaya and Xuan Vinh Vo

MPRA Paper from University Library of Munich, Germany

Abstract: Day-of-the-week persistence and seasonality of electricity prices in Spain, spanning 01/01/2006 to 04/11/2021, are investigated by employing updated fractional persistence frameworks in nonlinear settings. The results show marginal higher persistence in electricity prices during the working days (Tuesday, Wednesday, Thursday and Friday), compared to weekend days. In all cases, electricity prices are mean-reverting with long-range dependence properties. Results also show that the monthly electricity price series contain no seasonal effect.

Keywords: Electricity prices; Fractional persistence; Unit root; Day-of-the-week effect; seasonality; Spain (search for similar items in EconPapers)
JEL-codes: C22 Q47 (search for similar items in EconPapers)
Date: 2021-12-15, Revised 2022-04-03
New Economics Papers: this item is included in nep-ene and nep-reg
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https://mpra.ub.uni-muenchen.de/112652/4/MPRA_paper_112652.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/113836/1/MPRA_paper_113836.pdf revised version (application/pdf)

Related works:
Journal Article: Testing Day-Of-The-Week Persistence and Seasonality in Spanish Electricity Energy Prices (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:112652

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