Understanding Electricity Price Volatility within and across Markets

Mika Goto and G. Karolyi (gak56@cornell.edu)
Additional contact information
Mika Goto: Central Research Institute of Electric Power Industry

Working Paper Series from Ohio State University, Charles A. Dice Center for Research in Financial Economics

Abstract: This study analyzes how electricity price volatility evolves over time for different electricity trading hubs in several deregulated markets around the world. The goal is to uncover common features across hubs within each market in the daily spot price volatility processes related to seasonality, mean reversion, conditionally autoregressive heteroskedasticity (ARCH) and possibly time-dependent jumps. We apply our analysis to markets in U.S., Nord Pool, and Australia. We show that ARCH and time-dependent jumps are important statistical features of price volatility across all hubs in each market but with different levels of intensity. We also find that inferences about the role of seasonality components are sensitive to modeling of the ARCH and jump features.

JEL-codes: G13 (search for similar items in EconPapers)
Date: 2004-07
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

Downloads: (external link)
http://www.cob.ohio-state.edu/fin/dice/papers/2004/2004-12.pdf
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.cob.ohio-state.edu/fin/dice/papers/2004/2004-12.pdf [301 Moved Permanently]--> https://www.cob.ohio-state.edu/fin/dice/papers/2004/2004-12.pdf [301 Moved Permanently]--> https://fisher.osu.edu/fin/dice/papers/2004/2004-12.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: https://EconPapers.repec.org/RePEc:ecl:ohidic:2004-12

Access Statistics for this paper

More papers in Working Paper Series from Ohio State University, Charles A. Dice Center for Research in Financial Economics Contact information at EDIRC.
Bibliographic data for series maintained by (workingpapers@econlit.org).