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.

MoreLess

Year of publication:	2009-04
Authors:	Janczura, Joanna ; Weron, Rafal
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	regime-switching \| heteroskedasticity \| electricity spot price

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C51 - Model Construction and Estimation ; q47 ; L94 - Electric Utilities ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008540965