Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets
AbstractIn 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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Bibliographic InfoArticle provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.
Volume (Year): 10 (2006)
Issue (Month): 3 ()
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Web page: http://www.degruyter.com
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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- Massimiliano Serati & Matteo Manera & Michele Plotegher, 2008.
"Modelling electricity prices: from the state of the art to a draft of a new proposal,"
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- Matteo Manera & Massimiliano Serati & Michele Plotegher, 2008. "Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal," Working Papers 2008.9, Fondazione Eni Enrico Mattei.
- Sévi, Benoît & Le Pen, Yannick, 2010.
"Volatility transmission and volatility impulse response functions in European electricity forward markets,"
Open Access publications from UniversitÃ© Paris-Dauphine
urn:hdl:123456789/5450, Université Paris-Dauphine.
- Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
- 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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