Forecasting electricity price volatility with the Markov-switching GARCH model: Evidence from the Nordic electric power market
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Tarih
2013
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier Science Sa
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
In 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.
Açıklama
Anahtar Kelimeler
Electricity Price Volatility, Markov-Switching GARCH Model, Regime-Dependent Volatility, Nordic Power Market
Kaynak
Electric Power Systems Research
WoS Q Değeri
Q2
Scopus Q Değeri
Q1
Cilt
102
