• norsk
    • English
  • norsk 
    • norsk
    • English
  • Logg inn
Vis innførsel 
  •   Hjem
  • Handelshøyskolen BI
  • BI Research Centre's Series
  • Centre for Applied Macro- and Petroleum economics (CAMP)
  • Vis innførsel
  •   Hjem
  • Handelshøyskolen BI
  • BI Research Centre's Series
  • Centre for Applied Macro- and Petroleum economics (CAMP)
  • Vis innførsel
JavaScript is disabled for your browser. Some features of this site may not work without it.

Large Time-Varying Volatility Models for Electricity Prices

Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca
Working paper
Thumbnail
Åpne
working_camp_05-2020.pdf (1.390Mb)
Permanent lenke
https://hdl.handle.net/11250/2660739
Utgivelsesdato
2020-07-02
Metadata
Vis full innførsel
Samlinger
  • Centre for Applied Macro- and Petroleum economics (CAMP) [95]
Sammendrag
We study the importance of time-varying volatility in modelling hourly electricity prices when fundamental drivers are included in the estimation. This allows us to contribute to the literature of large Bayesian VARs by using well-known time series models in a huge dimension for the matrix of coefficients. Based on novel Bayesian techniques, we exploit the importance of both Gaussian and non-Gaussian error terms in stochastic volatility. We find that by using regressors as fuels prices, forecasted demand and forecasted renewable energy is essential in order to properly capture the volatility of these prices. Moreover, we show that the time-varying volatility models outperform the constant volatility models in both the in-sample model- fit and the out-of-sample forecasting performance.
Utgiver
BI Norwegian Business School
Serie
CAMP Working Paper Series;05/2020

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit
 

 

Bla i

Hele arkivetDelarkiv og samlingerUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifterDenne samlingenUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifter

Min side

Logg inn

Statistikk

Besøksstatistikk

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit