Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions
AbstractWe calibrate Markov regime-switching (MRS) models to mean daily spot prices from the EEX market. Our empirical study shows that (i) models with shifted spike regime distributions lead to more realistic models of electricity spot prices and that (ii) introducing heteroskedasticity in the base regime leads to better spike identification and goodness-of-fit than in MRS models with the standard mean-reverting, constant volatility dynamics.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 18784.
Date of creation: Apr 2009
Date of revision:
regime-switching; heteroskedasticity; electricity spot price;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
- L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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