Goto, Mika (contributor); Karolyi, G. Andrew (contributor) - 2004 - [Elektronische Ressource]
) use generalized ARCH
(GARCH) models for electricity prices and ensure stationarity in volatility when price
spikes are …, 1996).
6
hub in the U.S. is related to price uncertainty, which they model as a GARCH process, as
well as demand … induced by the presence of price spikes and higher order
autoregressive dependence in the prices that stems from GARCH …