Spot Electricity Prices Modelling with Regime Switching Models

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Abstract


We address the issue of modeling spot electricity prices with regime switching models. After reviewing the stylized facts about power markets we propose and fit various models to spot prices from german energy market EEX. Afterwards we assess their performance by comparing simulated and market prices. Our empirical study shows that (1) models with MRS are more realistic for spikes and jumps and (2) introducing herteroskedastiсity in the base regime model leads to better spike identification and goodness-of-fit than in MRS models with mean-reverting, constant volatility dynamics.

Eu Yu Shchetinin

Moscow State Technology University STANKIN

Email: Riviera-molto@mail.ru
Кафедра прикладной математики; ФБГОУ ВПО МГТУ «СТАНКИН»; Moscow State Technology University STANKIN

S V Kaplunov

Moscow State Technology University STANKIN

Email: heavy_s@mail.ru
Кафедра прикладной математики; ФБГОУ ВПО МГТУ «СТАНКИН»; Moscow State Technology University STANKIN

P N Markov

Moscow State Technology University STANKIN

Email: mogilevich@sgu.ru
Кафедра прикладной математики; ФБГОУ ВПО МГТУ «СТАНКИН»; Moscow State Technology University STANKIN

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Copyright (c) 2012 Щетинин Е.Ю., Каплунов С.В., Марков П.Н.

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