This paper analyzes the volatility of wholesale electricity markets for five markets in Europe. Using GARCH models after filtering outliers, significant asymmetric effects and volatility persistence have been documented. Moreover, empirical evidence is provided on a significant relation between volume and volatility which can be both positive or negative depending on the specific market.

Volatility and Volume Effects in European Electricity Spot Markets

GIANFREDA, Angelica
2010-01-01

Abstract

This paper analyzes the volatility of wholesale electricity markets for five markets in Europe. Using GARCH models after filtering outliers, significant asymmetric effects and volatility persistence have been documented. Moreover, empirical evidence is provided on a significant relation between volume and volatility which can be both positive or negative depending on the specific market.
2010
Electricity; volatility; volume
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/342169
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