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

Ciarreta, Aitor; Muniain, Peru; Zarraga, Ainhoa

Institute of Social and Economic Research Discussion Papers, 2017, 991, 1-29

アクセス数:171件（2025-07-11 10:00 集計）

固定URL: https://hdl.handle.net/11094/60306

論文情報

ファイル出力 EndNote Basic出力 Mendeley出力

タイトル
Modelling Realized Volatility in Electricity Spot Prices : New insights and Application to the Japanese Electricity Market
著者
著者名
Ciarreta, Aitor
著者名
Muniain, Peru
著者名
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.
出版者
The Institute of Social and Economic Research, Osaka University
収録物名
Institute of Social and Economic Research Discussion Papers
巻(号)
991
ページ
1-29
刊行年月
2017-02
言語
英語
ハンドルURL
https://hdl.handle.net/11094/60306
関連情報 (references)
URI
https://www.iser.osaka-u.ac.jp/static/resources/docs/dp/2017/DP0991.pdf
アクセス権
metadata only access
カテゴリ
ディスカッション／ワーキング・ペーパー DP/WP
Institute of Social and Economic Research Discussion Papers