Publication:
Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility

Simple item page
dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorEscribano, Álvaro
dc.contributor.authorSucarrat, Genaro
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economíaes
dc.contributor.otheres
dc.date.accessioned2016-07-27T07:53:05Z
dc.date.available2016-07-27T07:53:05Z
dc.date.issued2016-07
dc.description.abstractElectricity prices are characterised by strong autoregressive persistence, periodicity (e.g. intraday, day-of-the week and month-of-the-year effects), large spikes or jumps, GARCH and -as evidenced by recent findings- periodic volatility. We propose a multivariate model of volatility that decomposes volatility multiplicatively into a non-stationary (e.g. periodic) part and a stationary part with log-GARCH dynamics. Since the model belongs to the log-GARCH class, the model is robust to spikes or jumps, allows for a rich variety of volatility dynamics without restrictive positivity constraints, can be estimated equation-by-equation by means of standard methods even in the presence of feedback, and allows for Dynamic Conditional Correlations (DCCs) that can –optionally- be estimated subsequent to the volatilities. We use the model to study the hourly day-ahead system prices at Nord Pool, and find extensive evidence of periodic volatility and volatility feedback. We also find that volatility is characterised by (positive) leverage in half of the hours, and that a DCC model provides a better fit of the conditional correlations than a Constant Conditional Correlation (CCC) model.es
dc.format.mimetypeapplication/pdf
dc.identifier.issn2340-5031es
dc.identifier.urihttps://hdl.handle.net/10016/23436
dc.identifier.uxxiDT/0000001475es
dc.language.isoenges
dc.relation.ispartofseriesUC3M working papers. Economicses
dc.relation.ispartofseries16-11es
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.accessRightsopen accessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.jelC22es
dc.subject.jelC32es
dc.subject.jelC51es
dc.subject.jelC58es
dc.subject.otherElectricity priceses
dc.subject.otherfinancial returnes
dc.subject.othervolatilityes
dc.subject.otherARCHes
dc.subject.otherexponential GARCHes
dc.subject.otherlog-GARCHes
dc.subject.otherMultivariate GARCHes
dc.subject.otherDynamic Conditional Correlationses
dc.subject.otherinverse leveragees
dc.subject.otherNord Pooles
dc.titleEquation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatilityes
dc.typeworking paper*
dc.type.hasVersionAO*
dspace.entity.typePublication
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
we1611.pdf
Size:
1.16 MB
Format:
Adobe Portable Document Format
Download
Collections
DE - Working Papers. Economics. WE