A study of electricity price volatility for the Brazilian energy market

Author

Leme, RC ; Turrioni, JB ; Balestrassi, PP ; De Souza, AC Zambroni ; Santos, PS

Author_Institution

Power Syst. Eng. Group, Fed. Univ. of Itajuba, Itajuba

fYear

2008

fDate

28-30 May 2008

Firstpage

1

Lastpage

6

Abstract

In the recent months, the price of the electricity in Brazil has presented a high level of volatility. As an example, the verified highest electricity price return in March 2007 was almost 260%. The volatility of a commodity plays an important role in the study of the risk management. It also improves the efficiency in parameter estimation and the accuracy in interval forecast. In this work, the Generalized Autoregressive Conditional Heteroscedastic (GARCH) model is used to study the price volatility in the Brazilian market in four geographical regions. The results have shown that the model is able to estimate the behavior of the volatility.

Keywords

parameter estimation; power markets; risk management; Brazilian energy market; electricity price volatility; generalized autoregressive conditional heteroscedastic model; interval forecast; parameter estimation; risk management; Contracts; Costs; Economic forecasting; Electricity supply industry; Electricity supply industry deregulation; Energy consumption; Marketing and sales; Portfolios; Power generation; Risk management; Electricity Price; GARCH; Volatility;

fLanguage

English

Publisher

ieee

Conference_Titel

Electricity Market, 2008. EEM 2008. 5th International Conference on European

Conference_Location

Lisboa

Print_ISBN

978-1-4244-1743-8

Electronic_ISBN

978-1-4244-1744-5

Type

conf

DOI

10.1109/EEM.2008.4579095

Filename

4579095