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...

We modelled electricity prices by fractionally integrated processes finding significant relations between zonal spot prices and exogenous variables. Day-ahead forecasts have been computed thanks to forecasted volumes and a scenario analysis

The wide range of models needed to support the various short-term operations for electricity generation demonstrates the importance of accurate specifications for the uncertainty in market prices. This is becoming increasingly challenging, since electricity hourly price densities exhibit a...