Çifter, Atilla2021-05-152021-05-1520130378-77961873-2046https://doi.org/10.1016/j.epsr.2013.04.007https://hdl.handle.net/20.500.12939/720In 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.eninfo:eu-repo/semantics/closedAccessElectricity Price VolatilityMarkov-Switching GARCH ModelRegime-Dependent VolatilityNordic Power MarketArticle10.1016/j.epsr.2013.04.00710261672-s2.0-84877758211Q1WOS:000320480200008Q2