Modelling the Volatility of the Spanish Wholesale Electricity Spot Market. Asymmetric GARCH Models vs. Threshold ARSV model
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2011
- handle: 10670/1.spm8kl
- 1133-3197
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Estudios de Economía Aplicada
Mots-clés
Economía y Finanzas ARSV GARCH Volatility Electricity PricesSujets proches
GalvanismCiter ce document
JOSÉ M. MONTERO et al., « Modelling the Volatility of the Spanish Wholesale Electricity Spot Market. Asymmetric GARCH Models vs. Threshold ARSV model », Estudios de Economía Aplicada, ID : 10670/1.spm8kl
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Résumé
"The liberalization and deregulation of the Spanish electricity market has provoked an increase in the complexity of pricing behaviour. In particular, the volatility of electricity spot prices is the feature that best characterises the current Spanish market. Since an understanding of the volatility process in the electricity market is critically important to distributors, generators and market regulators, this article focuses on the asymmetrical pattern of the volatility of Spanish electricity spot prices, paying special attention to the direct or inverse leverage effect. For this purpose, we use both a range of traditional GARCH models and a T-ARSV model. The results clearly favour the proposed T-ARSV specification, which suggests a positive leverage effect in the Spanish market."