Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices
Marius Ooms (),
M. Angeles Carnero () and
Siem Jan Koopman ()
No 158, Econometric Society 2004 Australasian Meetings from Econometric Society
In this paper we consider different periodic extensions of regression models with autoregressive fractionally integrated moving average disturbances for the analysis of daily spot prices of electricity. We show that day-of-the-week periodicity and long memory are important determinants for the dynamic modelling of the conditional mean of electricity spot prices. Once an effective description of the conditional mean of spot prices is empirically identified, focus can be directed towards volatility features of the time series. For the older electricity market of Nord Pool in Norway, it is found that a long memory model with periodic coefficients is required to model daily spot prices effectively. Further, strong evidence of conditional heteroskedasticity is found in the mean corrected Nord Pool series. For daily prices at three emerging electricity markets that we consider (APX in The Netherlands, EEX in Germany and Powernext in France) periodicity in the autoregressive coefficients is also stablished, but evidence of long memory is not found and existence of dynamic behaviour in the variance of the spot prices is less pronounced. The novel findings in this paper can have important consequences for the modelling and forecasting of mean and variance functions of spot prices for electricity and associated contingent assets
Keywords: GARCH; Long Memory (search for similar items in EconPapers)
JEL-codes: C22 C32 C5 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed
Downloads: (external link)
http://www.tinbergen.nl/discussionpapers/03071.pdf main text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.tinbergen.nl/discussionpapers/03071.pdf [301 Moved Permanently]--> https://www.tinbergen.nl/discussionpapers/03071.pdf)
Working Paper: Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices (2003)
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:ecm:ausm04:158
Access Statistics for this paper
More papers in Econometric Society 2004 Australasian Meetings from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().