Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices

Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles

doi:10.1198/016214506000001022

Cited by 223 publications

(139 citation statements)

References 33 publications

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“…Finally, Knittel and Roberts (2005) find an inverse leverage effect for electricity prices in the United States. Other studies have found similar results (see, for example, Weron 2006Weron , 2008Harris 2006;Geman and Roncoroni 2006;Koopman et al 2007;Pilipović 2007;Sotiriadis et al 2016).…”

Section: The Electricity System Price For the Nordic Spot Electricitysupporting

confidence: 59%

“…These models fail to capture the full volatility dynamics of electricity prices as well as the price and volatility interrelationships. Another class of models introduces univariate generalized autoregressive conditional heteroscedasticity (GARCH) conditional volatility models, as well as other variations of GARCH modeling, such as exponential (EGARCH) and threshold (TGARCH) (see Chan and Gray 2006;Escribano et al 2011;Habell et al 2004;Higgs and Worthington 2005;Koopman et al 2007;Solibakke 2002). These models capture the price and volatility dynamics of electricity prices as well as price shock transmissions.…”

Section: The Electricity System Price For the Nordic Spot Electricitymentioning

confidence: 99%

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The Nordic/Baltic spot electric power system price: univariate nonlinear impulse-response analysis

Solibakke¹

2018

JEM

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This paper revisits the conditional mean and volatility density characteristics of the system price settled by the Nordic/Baltic spot electric power market . The main aim of this paper is an analysis of the nonlinear impulse-response features (shocks) in the nonstorable commodity market. Initially, we extract all deterministic seasonality and nonstationary trend and scale features from the series. A strictly stationary model reports serial correlation for the mean, and clustering, asymmetry and level effects for the volatility. For the mean, the impulse-response analysis reports linear and symmetric mean reversion for any price movements. For the volatility, small price movements show symmetric and decreasing volatility. In contrast, for larger absolute price movements, the volatility shows a nonlinear increase as well as fast-growing negative asymmetries. The impulse persistence is therefore relatively short. With the entrance of renewables into the energy market, the subperiod 2008-17 reports major systematic changes in the mean, volatility, asymmetry and persistence. In fact, the renewables era has changed the fundamental features of the Nordic/Baltic electricity market.

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Section: The Electricity System Price For the Nordic Spot Electricitysupporting

confidence: 59%

Section: The Electricity System Price For the Nordic Spot Electricitymentioning

confidence: 99%

The Nordic/Baltic spot electric power system price: univariate nonlinear impulse-response analysis

Solibakke¹

2018

JEM

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“…Some other interesting studies on these stylized facts are Huisman and Mahieu (2003), Worthington et al (2005), Karakatsani and Bunn (2010), and Efimova and Serletis (2014). Finally, mean reversion is another specific characteristic of electricity prices, mainly driven by weather conditions (Koopman et al, 2007); it refers to the tendency of electricity prices to revert to a long-run level reflecting the long-run cost of electricity generation.…”

Section: Deregulation and Stylized Factsmentioning

confidence: 99%

Electricity prices, large-scale renewable integration, and policy implications

2017

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This paper investigates the effects of intermittent solar and wind power generation on electricity price formation in Germany. We use daily data from 2010 to 2015, a period with profound modifications in the German electricity market, the most notable being the rapid integration of photovoltaic and wind power sources, as well as the phasing out of nuclear energy. In the context of a GARCH-in-Mean model, we show that both solar and wind power Granger cause electricity prices, that solar power generation reduces the volatility of electricity prices by scaling down the use of peak-load power plants, and that wind power generation increases the volatility of electricity prices by challenging electricity market flexibility.JEL classification: C22; Q41; Q42.

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“…Electricity spot prices differ substantially from time series of other commodities such as coal and natural gas because electricity still cannot be stored efficiently and, therefore, electricity demand has a major effect on the electricity spot price [30]. The hourly electricity spot price values are usually calculated using a volume weighted average of all trades executed through a power exchange hub and they are considered to be 24-dimensional time series [31]. The key indicator, European Energy Exchange (EEX) spot (electricity) price, fluctuates considerably during the day (Figure 1).…”

Section: Electricity Spot Pricementioning

confidence: 99%

A radiofrequency heated reactor system for post-combustion carbon capture

Fernández

Sotenko

Derevschikov

et al. 2016

Chemical Engineering and Processing: Process Intensification

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Several problems with stabilization of electricity grid system are related to the time lag between the electricity supply and demand of the end users. Many power plants run for a limited period of time to compensate for increased electricity demand during peak hours. The amount of CO2 generated by these power installations can be substantially reduced via the development of new demand side management strategies utilizing CO2 absorption units with a short start-up time.The sorbent can be discharged using radiofrequency (RF) heating to fill the night-time valley in electricity demand helping in the stabilization of electricity grid. Herein a concept of RF heated fixed bed reactor has been demonstrated to remove CO2 from a flue gas using a CaCO3 sorbent. A very stable and reproducible operation has been observed over twenty absorptiondesorption cycles. The application of RF heating significantly reduced the transition time required for temperature excursions between the absorption and desorption cycles. The effect of flow reversal during desorption on desorption time has been investigated. The desorption time was reduced by 1.5 times in the revered flow mode and the total duration of a single absorption-desorption cycle was reduced by 20%. A reactor model describing the reduced desorption time has been developed. 2 Highlights• An RF reactor system has been demonstrated for post-combustion carbon capture.• The transition time between the absorption and desorption cycles was reduced by 2 times as compared to conventional heating• The reverse CO2 desorption flow mode reduced the desorption time by 1.5 times.• The energy efficiency of RF heated and conventionally heated bench reactors was compared

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Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices

Cited by 223 publications

References 33 publications

The Nordic/Baltic spot electric power system price: univariate nonlinear impulse-response analysis

The Nordic/Baltic spot electric power system price: univariate nonlinear impulse-response analysis

Electricity prices, large-scale renewable integration, and policy implications

A radiofrequency heated reactor system for post-combustion carbon capture

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