Gogas, Periklis; Serletis, Apostolos - In: Journal of Economic Studies 36 (2009) September, pp. 383-392
Purpose – This paper set out to use an autoregressive conditional heteroscedasticity (ARCH)-type model to capture the time-varying conditional variance of Alberta electricity prices. This is of major importance in forecasting, since ARCH-type models allow the conditional variance to depend on...