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Modelling the Volatility of the Spanish Wholesale Electricity Spot Market. Asymmetric GARCH Models vs. Threshold ARSV model/Modelización de la volatilidad en el mercado eléctrico español. Modelos GARCH frente al modelo T-ARSV



    (Departamento de Estadística, UNIVERSITY OF CASTLLA-LA MANCHA, SPAIN.)



    (Departamento de Estadística, UNIVERSITY OF SAN PABLO-CEU, SPAIN.)



    (Departamento de Estadística, UNIVERSITY OF CASTLLA-LA MANCHA, SPAIN.)

The liberalization and deregulation of the Spanish electricity market has provoked an increase in the complexity of pricing behaviour. In particular, the volatility of electricity spot prices is the feature that best characterises the current Spanish market. Since an understanding of the volatility process in the electricity market is critically important to distributors, generators and market regulators, this article focuses on the asymmetrical pattern of the volatility of Spanish electricity spot prices, paying special attention to the direct or inverse leverage effect. For this purpose, we use both a range of traditional GARCH models and a T-ARSV model. The results clearly favour the proposed T-ARSV specification, which suggests a positive leverage effect in the Spanish market. El proceso de liberalización y desregulación del mercado eléctrico español ha incrementado la complejidad del comportamiento de los precios. En particular, la volatilidad de los precios spot es la característica que mejor define el mercado español actual. Teniendo en cuenta que el conocimiento de este hecho estilizado es clave para distribuidores, generadores y reguladores, en este artículo nos centramos en el estudio de la respuesta asimétrica o no de los precios spot, así como en la existencia de efecto leverage directo o inverso. Para ello se utiliza una batería de modelos GARCH tradicionales en la literatura, a la que se enfrenta el modelo de volatilidad T-ARSV. Los resultados favorecen a la especificación T-ARSV y sugieren un efecto leverage positivo en el mercado eléctrico español.

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Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 29 (2011)
Issue (Month): (Agosto)
Pages: 597-616

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Handle: RePEc:lrk:eeaart:29_2_10
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