Title :
Analysis of Electricity Prices Volatility Based on Multicycle GARCH-M Model
Author :
Zhao, Yuan-qing ; Wang, Rui-qing
Author_Institution :
Anyang Normal Univ., Anyang, China
Abstract :
The volatility of electricity price is the important information for the risk management of power markets and the pricing of power financial derivatives. A GARCH-M model in which the multi-cycle properties of electricity price series are described by dummy variable and sine function is proposed. The model is easy to select the order, and holds parsimonious scale of estimated parameters and high practical application value. The numerical example based on the historical data of the PJM market shows that the hetero-scedasticity and the load squares have a significant effect on the mean electricity price, and there exists volatility clustering.
Keywords :
autoregressive processes; parameter estimation; pattern clustering; power engineering computing; power markets; pricing; risk management; PJM market; dummy variable; electricity price series multicycle property; electricity price volatility analysis; generalized autoregressive conditional heteroskedasticity; hetero-scedasticity; load squares; mean electricity price; multicycle GARCH-M model; parameter estimation; power financial derivative pricing; power markets; risk management; sine function; volatility clustering; Industrial control; GARCH-M model; electricity price; multi-cycle; volatility clustering;
Conference_Titel :
Industrial Control and Electronics Engineering (ICICEE), 2012 International Conference on
Conference_Location :
Xi´an
Print_ISBN :
978-1-4673-1450-3
DOI :
10.1109/ICICEE.2012.166
