Gogas, Periklis; Serletis, Apostolos - In: Journal of Economic Studies 36 (2009) 4, 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...