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

Ciarreta, Aitor; Muniain, Peru; Zarraga, Ainhoa

アクセス数:133件（2024-05-13 06:58 集計）

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

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	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 http://www.iser.osaka-u.ac.jp/library/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
カテゴリ	Institute of Social and Economic Research Discussion Papers

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. 2017, 991, p. 1-29
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
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2017-02
DC.relation' scheme='DCTERMS.URI	http://www.iser.osaka-u.ac.jp/library/dp/2017/DP0991.pdf
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	https://hdl.handle.net/11094/60306
citation_abstract_html_url	http://www.iser.osaka-u.ac.jp/library/dp/2017/DP0991.pdf

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