Modeling electricity spot prices: Regime switching models with price-capped spike distributions

Joanna Janczura and Rafał Weron

MPRA Paper from University Library of Munich, Germany

Abstract: We calibrate Markov regime-switching (MRS) models to spot (log-)prices from two major power markets. We show that while the price-capped (or truncated) spike distributions do not give any advantage over the standard specification in case of moderately spiky markets (such as NEPOOL), they improve the fit and yield significantly different results in case of extremely spiky markets (such as the Australian NSW market).

Keywords: Electricity spot price; Markov regime-switching model; Price spike; Price cap; Truncated distribution (search for similar items in EconPapers)
JEL-codes: C24 C52 Q4 (search for similar items in EconPapers)
Date: 2010-06-14
New Economics Papers: this item is included in nep-ene
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Citations: View citations in EconPapers (1)

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