Advanced Search

Show simple item record

dc.contributor.authorÇifter, Atilla
dc.date.accessioned2021-05-15T12:40:58Z
dc.date.available2021-05-15T12:40:58Z
dc.date.issued2013
dc.identifier.issn0378-7796
dc.identifier.issn1873-2046
dc.identifier.urihttps://doi.org/10.1016/j.epsr.2013.04.007
dc.identifier.urihttps://hdl.handle.net/20.500.12939/720
dc.descriptionWOS:000320480200008en_US
dc.description.abstractIn this paper, electricity price behavior in the Nordic electric power market is forecasted with both the Markov-switching generalized autoregressive conditional heteroskedasticity (MS-GARCH) model and a set of different volatility models. The MS-GARCH model is estimated with two regimes, representing periods of low and high volatility. This study shows that electricity price volatility is not only highly volatile but also strongly regime-dependent. The empirical results show that the MS-GARCH model enables more accurate forecasting than the standard GARCH models, according to tail loss and reality check tests for one- and multi-step ahead forecasts. The results suggest that both the electricity generation companies and consumers of electricity could carry out better price forecasts by using the proposed MS-GARCH model. (C) 2013 Elsevier B.V. All rights reserved.en_US
dc.language.isoengen_US
dc.publisherElsevier Science Saen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectElectricity Price Volatilityen_US
dc.subjectMarkov-Switching GARCH Modelen_US
dc.subjectRegime-Dependent Volatilityen_US
dc.subjectNordic Power Marketen_US
dc.titleForecasting electricity price volatility with the Markov-switching GARCH model: Evidence from the Nordic electric power marketen_US
dc.typearticleen_US
dc.departmentİşletme Fakültesi, Uluslararası Lojistik Yönetimien_US
dc.department-tempIstanbul Kemerburgaz Univ, TR-34217 Istabul, Turkeyen_US
dc.contributor.institutionauthorÇifter, Atilla
dc.identifier.doi10.1016/j.epsr.2013.04.007
dc.identifier.volume102en_US
dc.identifier.startpage61en_US
dc.identifier.endpage67en_US
dc.relation.journalElectric Power Systems Researchen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record