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Modelling electricity price series using regime-switching GARCH model
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, Utbildningsvetenskap och Matematik. (MAM)
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, Utbildningsvetenskap och Matematik. (MAM)ORCID-id: 0000-0002-0139-0747
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, Utbildningsvetenskap och Matematik. (MAM)ORCID-id: 0000-0003-4554-6528
2015 (engelsk)Inngår i: ASMDA 2015 Proceedings: 16th Applied Stochastic Models and Data Analysis International Conference with 4th Demographics 2015 Workshop / [ed] Christos H. Skiadas, ISAST: International Society for the Advancement of Science and Technology , 2015, s. 713-725Konferansepaper, Publicerat paper (Fagfellevurdert)
Abstract [en]

This paper implements and analyzes the Regime-Switching GARCH modelusing real NordPool Electricity spot data. We allow the model parameters to switch between a regular regime and a non-regular regime, which is justied by a so-called structural break behaviour of electricity price series. In splitting the two regimes we consider three criteria, namely the intercountry price difference criterion, the capacity/flow difference criterion and the spikes-in-Finland criterion. We study the correlation relationships among these criteria using the mean-square contingency coefficient and the co-occurrence measure. We also estimate our model parameters and present empirical validity of the model.

sted, utgiver, år, opplag, sider
ISAST: International Society for the Advancement of Science and Technology , 2015. s. 713-725
HSV kategori
Forskningsprogram
matematik/tillämpad matematik
Identifikatorer
URN: urn:nbn:se:mdh:diva-29895ISBN: 978-618-5180-05-8 (tryckt)OAI: oai:DiVA.org:mdh-29895DiVA, id: diva2:881235
Konferanse
16th Applied Stochastic Models and Data Analysis International Conference (ASMDA2015) with Demographics 2015 Workshop, 30 June – 4 July 2015, University of Piraeus, Greece
Tilgjengelig fra: 2015-12-10 Laget: 2015-12-10 Sist oppdatert: 2017-09-28bibliografisk kontrollert

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Malyarenko, AnatoliySilvestrov, Sergei

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Totalt: 116 treff
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