In this work, we explore the impact that intra-daily information could have on explaining and forecasting the conditional volatility of daily electricity returns. Returns are computed on Italian spot prices. The basic model considers an autoregressive structure on the conditional mean, daily dummies for capturing weekly seasonality and lagged total daily volumes . The conditional variance equation is modeled with ARCH(1) and GARCH(1,1) models with intra-daily regressors given by total traded 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.

Volatility Models for Electricity Prices with Intra-daily information

GIANFREDA, Angelica;GROSSI, Luigi
2011

Abstract

In this work, we explore the impact that intra-daily information could have on explaining and forecasting the conditional volatility of daily electricity returns. Returns are computed on Italian spot prices. The basic model considers an autoregressive structure on the conditional mean, daily dummies for capturing weekly seasonality and lagged total daily volumes . The conditional variance equation is modeled with ARCH(1) and GARCH(1,1) models with intra-daily regressors given by total traded 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.
9788861297531
Intra-daily information; volatility forecasting; conditional volatility; daily electricity returns; Italian spot prices; ARCH(1); GARCH(1; 1); total traded volumes; volatility persistence
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11562/431460
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact