Arbeitspapier
Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method of approximate maximum likelihood. The methods are implemented for time series of 1, 200 to 4, 400 daily price observations. Apart from persistence, heteroskedasticity and extreme observations in prices, a novel empirical finding is the importance of day-of-the-week periodicity in the autocovariance function of electricity spot prices. In particular, daily log prices from the Nord Pool power exchange of Norway are modeled effectively by our framework, which is also extended with explanatory variables. For the daily log prices of three European emerging electricity markets (EEX in Germany, Powernext in France, APX in The Netherlands), which are less persistent, periodicity is also highly significant.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 05-091/4
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Construction and Estimation
General Financial Markets: General (includes Measurement and Data)
- Subject
-
Autoregressive fractionally integrated moving average model
Generalised autoregressive conditional heteroskedasticity model
Long memory process
Periodic autoregressive model
Volatility
Strompreis
ARCH-Modell
ARMA-Modell
EU-Staaten
- Event
-
Geistige Schöpfung
- (who)
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Koopman, Siem Jan
Ooms, Marius
Carnero, M. Angeles
- Event
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Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Koopman, Siem Jan
- Ooms, Marius
- Carnero, M. Angeles
- Tinbergen Institute
Time of origin
- 2005
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