Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions

Joanna Janczura and Rafał Weron

MPRA Paper from University Library of Munich, Germany

Abstract: We calibrate Markov regime-switching (MRS) models to mean daily spot prices from the EEX market. Our empirical study shows that (i) models with shifted spike regime distributions lead to more realistic models of electricity spot prices and that (ii) introducing heteroskedasticity in the base regime leads to better spike identification and goodness-of-fit than in MRS models with the standard mean-reverting, constant volatility dynamics.

Keywords: regime-switching; heteroskedasticity; electricity spot price (search for similar items in EconPapers)
JEL-codes: C22 C51 L94 Q47 (search for similar items in EconPapers)
Date: 2009-04
New Economics Papers: this item is included in nep-ene
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Citations: View citations in EconPapers (12)

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