Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions

We calibrate Markov regime-switching (MRS) models to mean daily spot prices from the EEX market. Our empirical study shows that (i) models with shifted spike regime distributions lead to more realistic models of electricity spot prices and that (ii) introducing heteroskedasticity in the base regime leads to better spike identification and goodness-of-fit than in MRS models with the standard mean-reverting, constant volatility dynamics.

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Year of publication:	2009-04
Authors:	Janczura, Joanna ; Weron, Rafal

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Janczura, Joanna and Weron, Rafal (2009): Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions. Published in: IEEE Conference Proceedings (2009)
Classification:	C51 - Model Construction and Estimation ; q47 ; L94 - Electric Utilities ; C22 - Time-Series Models
Source:	BASE

Persistent link: https://www.econbiz.de/10015219158