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Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market

Author

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  • Rainer Baule

    (Chair of Banking and Finance, University of Hagen, Universitätsstraße 41, 58084 Hagen, Germany)

  • Michael Naumann

    (Chair of Banking and Finance, University of Hagen, Universitätsstraße 41, 58084 Hagen, Germany)

Abstract

Intraday electricity trading on the continuous intraday market of EPEX SPOT is particularly well suited for the rebalancing of energy production. We analyzed the volatility and dispersion of individual hourly contracts, taking into account the particularities of the market, due to which the standard volatility measure from financial time series cannot be applied. We used and analyzed five measures for price fluctuations, which turned out to be similarly well suited for electricity contracts, with small differences. We then identified fundamental drivers of price fluctuations: the relative share of wind in the overall mix increased dispersion. In addition, price dispersion was positively correlated with the traded volume as well as the absolute difference between the day-ahead auction price and the volume-weighted intraday price. We furthermore analyzed the timely structure of price fluctuations to identify forecast indicators for a contract’s peak trading hour before maturity, finding that trading-related variables are more important to forecast price fluctuations than fundamental factors. With lagged realizations and additional external drivers, forecast regressions reached an adjusted R 2 of 0.479 for volatility and around 0.3 for the dispersion measures.

Suggested Citation

  • Rainer Baule & Michael Naumann, 2021. "Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market," Energies, MDPI, vol. 14(22), pages 1-24, November.
    • Handle: RePEc:gam:jeners:v:14:y:2021:i:22:p:7531-:d:676816
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    References listed on IDEAS

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