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Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets

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Author Info

  • Apostolos Serletis

    (University of Calgary)

  • Akbar Shahmoradi

    (RiskAdvisory Department, SAS Canada)

Abstract

In this paper we specify and estimate a multivariate GARCH-M model of natural gas and electricity price changes, and test for causal relationships between natural gas and electricity price changes and their volatilities, using data over the deregulated period from January 1, 1996 to November 9, 2004 from Alberta's (deregulated) spot power and natural gas markets. The model allows for the possibilities of spillovers and asymmetries in the variance-covariance structure for natural gas and electricity price changes, and also for the separate examination of the effects of the volatility of anticipated and unanticipated changes in natural gas and electricity prices.

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File URL: http://www.bepress.com/cgi/viewcontent.cgi?article=1341&context=snde
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Bibliographic Info

Article provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 10 (2006)
Issue (Month): 3 ()
Pages: 10

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Handle: RePEc:bpj:sndecm:v:10:y:2006:i:3:n:10

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Web page: http://www.degruyter.com

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Related research

Keywords: multivariate GARCH; Granger causality; electricity markets;

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Cited by:
  1. Massimiliano Serati & Matteo Manera & Michele Plotegher, 2008. "Modelling electricity prices: from the state of the art to a draft of a new proposal," LIUC Papers in Economics 210, Cattaneo University (LIUC).
  2. Sévi, Benoît & Le Pen, Yannick, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Open Access publications from Université Paris-Dauphine urn:hdl:123456789/5450, Université Paris-Dauphine.
  3. Schlueter, Stephan, 2010. "A long-term/short-term model for daily electricity prices with dynamic volatility," Energy Economics, Elsevier, vol. 32(5), pages 1074-1081, September.

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