markets are modelled using multivariate GARCH models. Stochastic volatility (SV) models, as flexible alternatives to GARCH … regional electricity markets in Australia, which are shown to be highly correlated in a previous study (Higgs, 2009). Bayesian …

conditional volatility of daily electricity returns. Returns are computed on Italian spot prices. The basic model considers an … volumes and variance of hourly returns at time t-1. The inclusion of intra-daily information reduces the volatility … persistence, hence inducing better volatility forecasts of standardized returns …