In this paper the volatility structure of electricity prices in the Italian zonal market is analyzed. Volatility should be a primary concern for investors and operators on energy markets because it is related to investment uncertainty and power plant management. Even if volatility of electricity...

This paper analyses the volatility of wholesale electricity markets for five markets in Europe. Using GARCH models after filtering outliers, significant asymmetric effects and volatility persistence have been documented. Moreover, empirical evidence is provided on a significant relation between...

In this work, we explore the impact that intra-daily information could have on explaining and forecasting the conditional volatility of daily electricity returns. Returns are computed on Italian spot prices. The basic model considers an autoregressive structure on the conditional mean, daily...