Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market
Peru Muniainy and
ISER Discussion Paper from Institute of Social and Economic Research, Osaka University
The paper analyzes volatility of the electricity prices in the Japanese day-ahead market using realized volatility. We use several jump tests to decompose total realized variation into jump and continuous components. Then, we estimate several HAR models that show the time-dependence structure of the volatility. Our results show that even though that market is narrow, it is relevant to identify jumps in volatility. Besides, modelling residuals improve estimation results. The time-dependent structure of the prices is present in volatility as well.
New Economics Papers: this item is included in nep-ene and nep-reg
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:dpr:wpaper:0991
Access Statistics for this paper
More papers in ISER Discussion Paper from Institute of Social and Economic Research, Osaka University Contact information at EDIRC.
Bibliographic data for series maintained by Fumiko Matsumoto ().