Forecasting volatility and tail risk in electricity markets

Artikel

This paper investigates the benefits of jointly using several realized measures in predicting daily price volatility, Value-at-Risk, and Expected Shortfall in the Australian electricity markets of New South Wales, Queensland, and Victoria. We propose using Realized GARCH-type models with multiple measurement equations based on robust estimators to account for market microstructure noise and jumps in electricity price series. The model specifications that combine information from multiple realized measures improve the in-sample fit of the data. The out-of-sample analysis shows that use of the jump-robust medRV estimator significantly increases the accuracy of volatility forecasts, while in forecasting Value-at-Risk and Expected Shortfall at different risk levels, the standard GARCH(1,1) also performs remarkably well.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 7 ; Pages: 1-17 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: electricity prices ; expected shortfall ; realized GARCH ; value-at-risk ; volatility forecasting

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Naimoli, Antonio ; Storti, Giuseppe
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2021

Further information

• DOI: doi:10.3390/jrfm14070294
• Handle: http://hdl.handle.net/10419/258398
• Last update: 10.03.2025, 11:44 AM CET