Modelling Realized Volatility in Electricity Spot Prices : New insights and Application to the Japanese Electricity Market

Ciarreta, Aitor; Muniain, Peru; Zarraga, Ainhoa

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論文情報

タイトル	Modelling Realized Volatility in Electricity Spot Prices : New insights and Application to the Japanese Electricity Market
著者	Ciarreta, Aitor Ciarreta, Aitor
	Muniain, Peru Muniain, Peru
	Zarraga, Ainhoa Zarraga, Ainhoa
抄録	The paper analyzes volatility of the electricity prices in the Japanese day-ahead market using realized volatility. We use several jump tests to decompose total realized variation into jump and continuous components. Then, we estimate several HAR models that show the time-dependence structure of the volatility. Our results show that even though that market is narrow, it is relevant to identify jumps in volatility. Besides, modeling residuals improve estimation results. The time-dependent structure of the prices is present in volatility as well.
公開者	The Institute of Social and Economic Research, Osaka University
掲載誌名	Institute of Social and Economic Research Discussion Papers
巻	991
開始ページ	1
終了ページ	29
刊行年月	2017-02
URL	http://hdl.handle.net/11094/60306
関連情報 (references)	http://www.iser.osaka-u.ac.jp/library/dp/2017/DP0991.pdf
言語	英語
カテゴリ	ディスカッション／ワーキング・ペーパー DP/WP

著者版フラグ	none
NII資源タイプ	テクニカルレポート
ローカル資源タイプ	ディスカッション／ワーキング・ペーパー
dcmi資源タイプ	text
DCTERMS.bibliographicCitation	Institute of Social and Economic Research Discussion Papers.991 P.1-P.29
DC.title	Modelling Realized Volatility in Electricity Spot Prices : New insights and Application to the Japanese Electricity Market
DC.creator	Ciarreta, Aitor
	Muniain, Peru
	Zarraga, Ainhoa
DC.publisher	The Institute of Social and Economic Research, Osaka University
DC.language" scheme="DCTERMS.RFC1766	英語
DCTERMS.issued" scheme="DCTERMS.W3CDTF	2017-02
DC.identifier" scheme="DCTERMS.URI	http://hdl.handle.net/11094/60306
DCTERMS.abstract	The paper analyzes volatility of the electricity prices in the Japanese day-ahead market using realized volatility. We use several jump tests to decompose total realized variation into jump and continuous components. Then, we estimate several HAR models that show the time-dependence structure of the volatility. Our results show that even though that market is narrow, it is relevant to identify jumps in volatility. Besides, modeling residuals improve estimation results. The time-dependent structure of the prices is present in volatility as well.
citation_title	Modelling Realized Volatility in Electricity Spot Prices : New insights and Application to the Japanese Electricity Market
citation_author	Ciarreta, Aitor
	Muniain, Peru
	Zarraga, Ainhoa
citation_publisher	The Institute of Social and Economic Research, Osaka University
citation_language	英語
citation_date	2017-02
citation_journal_title	Institute of Social and Economic Research Discussion Papers
citation_volume	991
citation_firstpage	1
citation_lastpage	29
citation_public_url	http://hdl.handle.net/11094/60306

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