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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. (Mathematics and Applied Mathematics)
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (Mathematics and Applied Mathematics)ORCID iD: 0000-0002-0139-0747
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (Mathematics and Applied Mathematics)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, 713-725 p.Conference 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. 713-725 p.
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: 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: 2016-12-27Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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  • Other style
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