A two-factor model for electricity prices with dynamic volatility

Arbeitspapier

The wavelet transform is used to identify a biannual and an annual seasonality in the Phelix Day Peak and to separate the long-term trend from its short-term motion. The short-term/long-term model for commodity prices of Schwartz & Smith (2000) is applied but generalised to account for weekly periodicities and time-varying volatility. Eventually we find a bivariate SARMA-CCC-GARCH model to fit best. Moreover it surpasses the goodness of fit of an univariate GARCH model, which shows that the additional effort of dealing with a two-factor model is worthwile.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IWQW Discussion Papers ; No. 04/2009

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Construction and Estimation
• Subject: Wavelets ; Seasonal Filter ; Relative Wavelet Energy ; Multivariate GARCH ; Energy Price Modelling ; Stromtarif ; Volatilität ; Zustandsraummodell ; Zeitreihenanalyse ; ARCH-Modell ; Multivariate Analyse ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Schlüter, Stephan
• Event: Veröffentlichung
• (who): Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW)
• (where): Nürnberg
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/29555
• Last update: 10.03.2025, 11:43 AM CET