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The role of generation mix, demand fluctuations and sequential markets in shaping intraday electricity prices. Evidence from Romania

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  • Bâra, Adela
  • Georgescu, Irina Alexandra
  • Oprea, Simona-Vasilica

Abstract

This paper examines the volatility and determinants of electricity prices in the Romanian Intra-Day Continuous (IDC) market through a dual approach that combines panel quantile regression and a Generalized Orthogonal (GO)-GARCH model based on principal components. The panel quantile regression identifies structural price drivers across the conditional distribution, highlighting the persistent and positive influence of Day-Ahead Market (DAM) prices, demand and sold (net import or export of the power system), particularly in the upper quantiles. These effects are more pronounced during peak volatility periods, revealing asymmetries in how market fundamentals shape IDC prices. To complement this structural analysis, we further apply Principal Component Analysis (PCA) followed by a GO-GARCH model to the log returns of electricity variables. The first six principal components, which explain over 72 % of the total variance, are modeled to assess time-varying volatility. Results show clear evidence of volatility clustering and systemic shocks, particularly concentrated between June and October. Independent Component Analysis (ICA) further decomposes these dynamics into interpretable latent factors related to renewable integration, load fluctuations and supply-side balancing. The combined methodology enhances understanding of IDC price formation and risk behavior in electricity markets under conditions of increasing volatility and renewable penetration.

Suggested Citation

  • Bâra, Adela & Georgescu, Irina Alexandra & Oprea, Simona-Vasilica, 2025. "The role of generation mix, demand fluctuations and sequential markets in shaping intraday electricity prices. Evidence from Romania," Renewable Energy, Elsevier, vol. 255(C).
    • Handle: RePEc:eee:renene:v:255:y:2025:i:c:s0960148125014442
    DOI: 10.1016/j.renene.2025.123782
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    2. Georgescu, Irina & Kinnunen, Jani, 2026. "Spin glass models and market volatility: A multiple threshold nonlinear autoregressive distributed lag approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 682(C).

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