DocumentCode :
1718038
Title :
Volatility transmissions in the Spanish Intra-day electricity market
Author :
Ciarreta, A. ; Zarraga, A.
Author_Institution :
Dept. of Econ. Anal. II, Univ. of the Basque Country (UPV/EHU), Bilbao, Spain
fYear :
2015
Firstpage :
1
Lastpage :
5
Abstract :
This paper analyzes the volatility transmissions between the different sessions of the Spanish Intraday electricity market for the period 2002-2013 using hourly prices. Based on the daily realized volatility and the organization of the market, volatility can only be transmitted from session 1 to 6 in chronological order, which allows to formulate six Autoregressive Distributed Lag models in which inference on volatility transmissions can be conducted. Within the Heterogenous Autoregressive Regression framework two different models are estimated. The first one (HAR-RV) explains the volatility in terms of its past, while the second (HAR-CV-JV) decomposes the volatility into continuous and jump components to capture extreme spikes. In-sample forecast criteria select HAR-CV-JV model for all Intraday sessions whereas out-of-sample criteria select HAR-RV.
Keywords :
autoregressive processes; power markets; AD 2002 to 2013; HAR-CV-JV model; HAR-RV; Spanish intraday electricity market; autoregressive distributed lag models; heterogenous autoregressive regression; realized volatility; volatility transmissions; Biological system modeling; Economics; Electricity supply industry; Estimation; Forecasting; Mathematical model; Predictive models; HAR-RV model; Realized volatility; intraday electricity market; jumps;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
European Energy Market (EEM), 2015 12th International Conference on the
Conference_Location :
Lisbon
Type :
conf
DOI :
10.1109/EEM.2015.7216621
Filename :
7216621
Link To Document :
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