IDEAS home Printed from https://ideas.repec.org/p/ufg/qdsems/06-2010.html
   My bibliography  Save this paper

Electricity Price Modelling with a Regime Switching Volatility

Author

Listed:
  • Silvana Musti

    ()

  • Viviana Fanelli

Abstract

We present a methodology to model electricity price dynamics by applying the interest rate theory toolkit. We construct the electricity market following [16] and applying the Heath, Jarrow and Morton ([7]) model. The electricity returns forward curve evolution using the Regime Switching Volatility is the instrument chosen to reflect into a simulating model the natural seasonality of electricity prices. The model calibration and the volatility parameters estimation allow to simulate in a realistic way the future electricity prices.

Suggested Citation

  • Silvana Musti & Viviana Fanelli, 2010. "Electricity Price Modelling with a Regime Switching Volatility," Quaderni DSEMS 06-2010, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  • Handle: RePEc:ufg:qdsems:06-2010
    as

    Download full text from publisher

    File URL: http://www.economia.unifg.it/sites/sd01/files/allegatiparagrafo/29-11-2016/q062010_abstract.pdf
    Download Restriction: no

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ufg:qdsems:06-2010. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Luca Grilli). General contact details of provider: http://edirc.repec.org/data/emsfoit.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.