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Modelling electricity price series using regime-switching GARCH model
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0002-0139-0747
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0003-4554-6528
2015 (English)In: 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, p. 713-725Conference paper, Published paper (Refereed)
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.

Place, publisher, year, edition, pages
ISAST: International Society for the Advancement of Science and Technology , 2015. p. 713-725
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-29895ISBN: 978-618-5180-05-8 (print)OAI: oai:DiVA.org:mdh-29895DiVA, id: diva2:881235
Conference
16th Applied Stochastic Models and Data Analysis International Conference (ASMDA2015) with Demographics 2015 Workshop, 30 June – 4 July 2015, University of Piraeus, Greece
Available from: 2015-12-10 Created: 2015-12-10 Last updated: 2017-09-28Bibliographically approved

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Malyarenko, AnatoliySilvestrov, Sergei

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CiteExportLink to record
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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
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