Spot Electricity Prices Modelling with Regime Switching Models

Eu Yu Shchetinin; Щетинин Евгений Юрьевич; S V Kaplunov; Каплунов Сергей Владимирович; P N Markov; Марков Павел Николаевич

Spot Electricity Prices Modelling with Regime Switching Models

Authors: Shchetinin E.Y.¹, Kaplunov SV¹, Markov PN¹
Affiliations:
1. Moscow State Technology University STANKIN
Issue: No 3 (2012)
Pages: 61-68
Section: Articles
URL: https://journals.rudn.ru/miph/article/view/8451

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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.

Keywords

MGARCH, electricity spot prices, regime-switching models, spikes, heteroscedasticity, MGARCH

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Vol 32, No 4 (2024)

Spot Electricity Prices Modelling with Regime Switching Models

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Abstract

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About the authors

Eu Yu Shchetinin

S V Kaplunov

P N Markov

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