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A multi-factor approach to modelling the impact of wind energy on electricity spot prices

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  • Rowińska, Paulina A.
  • Veraart, Almut E.D.
  • Gruet, Pierre

Abstract

We introduce a four-factor arithmetic model for electricity baseload spot prices in Germany and Austria. The model consists of a deterministic seasonality and trend function, both short- and long-term stochastic components, and exogenous factors such as the daily wind energy production forecasts, the residual demand and the wind penetration index. We describe the short-term stochastic factor by a Lévy semi-stationary (LSS) process, and the long-term component is modelled as a Lévy process with increments belonging to the class of generalised hyperbolic distributions.

Suggested Citation

  • Rowińska, Paulina A. & Veraart, Almut E.D. & Gruet, Pierre, 2021. "A multi-factor approach to modelling the impact of wind energy on electricity spot prices," Energy Economics, Elsevier, vol. 104(C).
    • Handle: RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004953
    DOI: 10.1016/j.eneco.2021.105640
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    More about this item

    Keywords

    CARMA model; Electricity spot prices; Electricity futures prices; Lévy process; Lévy semistationary process; Wind energy;
    All these keywords.

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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