Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices
In this paper we consider different periodic extensions of regression models with autoregressive fractionally integrated moving average disturbances for the analysis of daily spot prices of electricity. We show that day-of-the-week periodicity and long memory are important determinants for the dynamic modelling of the conditional mean of electricity spot prices. Once an effective description of the conditional mean of spot prices is empirically identified, focus can be directed towards volatility features of the time series. For the older electricity market of Nord Pool in Norway, it is found that a long memory model with periodic coefficients is required to model daily spot prices effectively. Further, strong evidence of conditional heteroskedasticity is found in the mean corrected Nord Pool series. For daily prices at three emerging electricity markets that we consider (APX in The Netherlands, EEX in Germany and Powernext in France) periodicity in the autoregressive coefficients is also stablished, but evidence of long memory is not found and existence of dynamic behaviour in the variance of the spot prices is less pronounced. The novel findings in this paper can have important consequences for the modelling and forecasting of mean and variance functions of spot prices for electricity and associated contingent assets
|Date of creation:||11 Aug 2004|
|Contact details of provider:|| Phone: 1 212 998 3820|
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
- Bystrom, Hans N. E., 2005.
"Extreme value theory and extremely large electricity price changes,"
International Review of Economics & Finance,
Elsevier, vol. 14(1), pages 41-55.
- Byström, Hans, 2001. "Extreme Value Theory and Extremely Large Electricity Price Changes," Working Papers 2001:19, Lund University, Department of Economics.
- Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 169-177, April.
- Doornik, Jurgen A. & Ooms, Marius, 2003. "Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 333-348, March.
- Jurgen A. Doornik & Marius Ooms, 2001. "Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models," Economics Papers 2001-W27, Economics Group, Nuffield College, University of Oxford.
- Ooms, Marius & Franses, Philip Hans, 1997. "On Periodic Correlations between Estimated Seasonal and Nonseasonal Components in German and U.S. Unemployment," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 470-481, October.
- Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549.
- Ghysels,Eric & Osborn,Denise R., 2001. "The Econometric Analysis of Seasonal Time Series," Cambridge Books, Cambridge University Press, number 9780521565882.
- Ghysels,Eric & Osborn,Denise R., 2001. "The Econometric Analysis of Seasonal Time Series," Cambridge Books, Cambridge University Press, number 9780521562607, February.
- Franses, Philip Hans & Ooms, Marius, 1997. "A periodic long-memory model for quarterly UK inflation," International Journal of Forecasting, Elsevier, vol. 13(1), pages 117-126, March.
- Oberhofer, W & Kmenta, J, 1974. "A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models," Econometrica, Econometric Society, vol. 42(3), pages 579-590, May.
- Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
- Knittel, Christopher R. & Roberts, Michael R., 2005. "An empirical examination of restructured electricity prices," Energy Economics, Elsevier, vol. 27(5), pages 791-817, September.
- Alvaro Escribano & J. Ignacio Peña & Pablo Villaplana, 2011. "Modelling Electricity Prices: International Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 622-650, October.
- Villaplana, Pablo & Peña Sánchez de Rivera, Juan Ignacio & Escribano, Álvaro, 2002. "Modeling electricity prices: international evidence," UC3M Working papers. Economics we022708, Universidad Carlos III de Madrid. Departamento de Economía.
- Bell, William R & Hillmer, Steven C, 1984. "Issues Involved with the Seasonal Adjustment of Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 291-320, October.
- Carlin, J. B. & Dempster, A. P. & Jonas, A. B., 1985. "On models and methods for Bayesian time series analysis," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 67-90.
- Michael Dueker & Richard Startz, 1998. "Maximum-Likelihood Estimation Of Fractional Cointegration With An Application To U.S. And Canadian Bond Rates," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 420-426, August.
- Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 127-152, April.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bell, William R & Hillmer, Steven C, 1984. "Issues Involved with the Seasonal Adjustment of Time Series: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 343-349, October.
- Wilkinson, Louise & Winsen, Joseph, 2002. "What We Can Learn from a Statistical Analysis of Electricity Prices in New South Wales," The Electricity Journal, Elsevier, vol. 15(3), pages 60-69, April.
- Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038 Elsevier.
- Daniel B. Nelson, 1994. "Asymptotically Optimal Smoothing with ARCH Models," NBER Technical Working Papers 0161, National Bureau of Economic Research, Inc.
- de Jong, C.M. & Huisman, R., 2002. "Option Formulas for Mean-Reverting Power Prices with Spikes," ERIM Report Series Research in Management ERS-2002-96-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. Full references (including those not matched with items on IDEAS)