Comparison of extended mean-reversion and time series models for electricity spot price simulation considering negative prices

Dogan Keles, Massimo Genoese, Dominik Möst and Wolf Fichtner

Energy Economics, 2012, vol. 34, issue 4, 1012-1032

Abstract: This paper evaluates different financial price and time series models, such as mean reversion, autoregressive moving average (ARMA), integrated ARMA (ARIMA) and general autoregressive conditional heteroscedasticity (GARCH) process, usually applied for electricity price simulations. However, as these models are developed to describe the stochastic behaviour of electricity prices, they are extended by a separate data treatment for the deterministic components (trend, daily, weekly and annual cycles) of electricity spot prices. Furthermore price jumps are considered and implemented within a regime-switching model. Since 2008 market design allows for negative prices at the European Energy Exchange, which also occurred for several hours in the last years. Up to now, only a few financial and time series approaches exist, which are able to capture negative prices. This paper presents a new approach incorporating negative prices.

Keywords: Electricity prices; Time-series models; Mean-reversion process; Negative prices (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (48)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988311001721
Full text for ScienceDirect subscribers only

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: https://EconPapers.repec.org/RePEc:eee:eneeco:v:34:y:2012:i:4:p:1012-1032

DOI: 10.1016/j.eneco.2011.08.012

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().