Realized volatility and price spikes in electricity markets: The importance of observation frequency

Carl J. Ullrich

Energy Economics, 2012, vol. 34, issue 6, 1809-1818

Abstract: This paper uses high frequency spot price data from eight wholesale electricity markets in Australia, Canada, and the United States to estimate realized volatility and the frequency of price spikes. I find similar levels of realized volatility in Australia and North America, with estimates ranging from 1500% to 2700%, much greater than estimates reported previously in the literature. In hourly data, the frequency of price spikes ranges from approximately 35% to 40% in seven of eight markets. I present evidence that increasing the lag length in the calculation of bipower variation improves jump detection in electricity prices.

Keywords: Realized volatility; Bipower variation; Observation frequency; Electricity markets; Price spikes (search for similar items in EconPapers)
JEL-codes: C14 G10 L94 Q40 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:34:y:2012:i:6:p:1809-1818

DOI: 10.1016/j.eneco.2012.07.003

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