EconPapers    
Economics at your fingertips  
 

Deregulated Wholesale Electricity Prices in Italy

Bruno Bosco, Lucia Parisio () and Matteo Pelagatti ()

No 20060301, Working Papers from Università degli Studi di Milano-Bicocca, Dipartimento di Statistica

Abstract: In this paper we analyze the time series of daily average prices generated in the Italian electricity market, which started to operate as a Pool in April 2004. The objective is to characterize the high degree of autocorrelation and multiple seasonalities in the electricity prices. We use periodic time series models with GARCH disturbances and leptokurtic distributions and compare their performance with more classical ARMA-GARCH processes. The within-year seasonal variation is modelled using the low frequencies components of physical quantities, which are very regular throughout the sample. Results reveal that much of the variability of the price series is explained by deterministic multiple seasonalities which interact with each other. Periodic AR-GARCH models seem to perform quite well in mimicking the features of the stochastic part of the price process.

Keywords: Electricity auctions; Periodic Time Series; Conditional Heteroskedasticity; Multiple Seasonalities (search for similar items in EconPapers)
JEL-codes: D44 C22 L94 Q40 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene and nep-reg
Date: 2006-03, Revised 2006-04
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (11) Track citations by RSS feed

Downloads: (external link)
http://www.statistica.unimib.it/utenti/WorkingPapers/WorkingPapers/20060301.pdf Revised version, April 2006 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:mis:wpaper:20060301

Access Statistics for this paper

More papers in Working Papers from Università degli Studi di Milano-Bicocca, Dipartimento di Statistica Contact information at EDIRC.
Series data maintained by Matteo Pelagatti ().

 
Page updated 2017-05-22
Handle: RePEc:mis:wpaper:20060301