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Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets

In: Quantitative And Empirical Analysis Of Energy Markets

Author

Listed:
  • Apostolos Serletis

    (University of Calgary, Canada)

  • Akbar Shahmoradi

    (University of Calgary, Canada)

Abstract

The following sections are included:IntroductionThe DataThe ModelEmpirical ResultsConclusions

Suggested Citation

  • Apostolos Serletis & Akbar Shahmoradi, 2007. "Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 16, pages 205-220, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812770462_0016
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    2. Balcilar, Mehmet & Hammoudeh, Shawkat & Toparli, Elif Akay, 2018. "On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach," Energy Economics, Elsevier, vol. 74(C), pages 813-827.
    3. Xia, Tongshui & Ji, Qiang & Geng, Jiang-Bo, 2020. "Nonlinear dependence and information spillover between electricity and fuel source markets: New evidence from a multi-scale analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    4. Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
    5. Moon, Jongwoo & Jung, Tae Yong, 2020. "A critical review of Korea's long-term contract for renewable energy auctions: The relationship between the import price of liquefied natural gas and system marginal price," Utilities Policy, Elsevier, vol. 67(C).
    6. Sapio, Alessandro & Spagnolo, Nicola, 2020. "The effect of a new power cable on energy prices volatility spillovers," Energy Policy, Elsevier, vol. 144(C).
    7. Alexopoulos, Thomas A., 2017. "The growing importance of natural gas as a predictor for retail electricity prices in US," Energy, Elsevier, vol. 137(C), pages 219-233.
    8. Apostolos Serletis & Mattia Bianchi, 2007. "Informational Efficiency and Interchange Transactions in Alberta’s Electricity Market," The Energy Journal, , vol. 28(3), pages 121-144, July.
    9. Serati, Massimiliano & Manera, Matteo & Plotegher, Michele, 2008. "Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal," International Energy Markets Working Papers 44426, Fondazione Eni Enrico Mattei (FEEM).
    10. Furió, Dolores & Chuliá, Helena, 2012. "Price and volatility dynamics between electricity and fuel costs: Some evidence for Spain," Energy Economics, Elsevier, vol. 34(6), pages 2058-2065.
    11. Mayis Gulali Gulaliyev & Gulshen Zahidqizi Yuzbashiyeva & Gulnara Vaqifqizi Mamedova & Samira Tahmazqizi Abasova & Fariz Rafiq Salahov & Ramil Ramiz Askerov, 2020. "Consumer Surplus Changing in the Transition from State Natural Monopoly to the Competitive Market in the Electricity Sector in the Developing Countries: Azerbaijan Case," International Journal of Energy Economics and Policy, Econjournals, vol. 10(2), pages 265-275.
    12. Tadahiro Nakajima, 2019. "Expectations for Statistical Arbitrage in Energy Futures Markets," JRFM, MDPI, vol. 12(1), pages 1-12, January.
    13. S. Vijayalakshmi & G. P. Girish, 2015. "Artificial Neural Networks for Spot Electricity Price Forecasting: A Review," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 1092-1097.
    14. Efimova, Olga & Serletis, Apostolos, 2014. "Energy markets volatility modelling using GARCH," Energy Economics, Elsevier, vol. 43(C), pages 264-273.
    15. Tadahiro Nakajima & Yuki Toyoshima, 2020. "Examination of the Spillover Effects among Natural Gas and Wholesale Electricity Markets Using Their Futures with Different Maturities and Spot Prices," Energies, MDPI, vol. 13(7), pages 1-14, March.
    16. Olga Y. Uritskaya & Vadim M. Uritsky, 2015. "Predictability of price movements in deregulated electricity markets," Papers 1505.08117, arXiv.org.
    17. Nakajima, Tadahiro & Hamori, Shigeyuki, 2013. "Testing causal relationships between wholesale electricity prices and primary energy prices," Energy Policy, Elsevier, vol. 62(C), pages 869-877.
    18. Schlueter, Stephan, 2010. "A long-term/short-term model for daily electricity prices with dynamic volatility," Energy Economics, Elsevier, vol. 32(5), pages 1074-1081, September.
    19. Hung Do & Rabindra Nepal & Russell Smyth, 2020. "Interconnectedness in the Australian National Electricity Market: A Higher‐Moment Analysis," The Economic Record, The Economic Society of Australia, vol. 96(315), pages 450-469, December.
    20. Uritskaya, Olga Y. & Uritsky, Vadim M., 2015. "Predictability of price movements in deregulated electricity markets," Energy Economics, Elsevier, vol. 49(C), pages 72-81.
    21. Chae, Yeoungjin & Kim, Myunghwan & Yoo, Seung-Hoon, 2012. "Does natural gas fuel price cause system marginal price, vice-versa, or neither? A causality analysis," Energy, Elsevier, vol. 47(1), pages 199-204.
    22. Dolores Furio & Javier Poblacion, 2018. "Electricity and Natural Gas Prices Sharing the Long-term Trend: Some Evidence from the Spanish Market," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 173-180.
    23. Amina Baba & Sana Ben Kebaier & Anna Creti, 2024. "How efficient are natural gas markets in practice? A wavelet-based approach," Annals of Operations Research, Springer, vol. 334(1), pages 623-677, March.
    24. Tiantian Liu & Xie He & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe," Energies, MDPI, vol. 13(8), pages 1-20, April.
    25. Serletis, Apostolos & Xu, Libo, 2016. "Volatility and a century of energy markets dynamics," Energy Economics, Elsevier, vol. 55(C), pages 1-9.

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    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • N70 - Economic History - - Economic History: Transport, International and Domestic Trade, Energy, and Other Services - - - General, International, or Comparative
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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