Testing Day-Of-The-Week Persistence and Seasonality in Spanish Electricity Energy Prices

Olaoluwa Yaya

Energy RESEARCH LETTERS, 2024, vol. 5, issue 1, 1-7

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 non-linear 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: 2024
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Working Paper: Testing day-of-the-week persistence and seasonality in Spanish Electricity Energy prices (2022)
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