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Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) >
Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), Universität Erlangen-Nürnberg >
IWQW Discussion Paper Series, FAU Erlangen-Nürnberg >
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http://hdl.handle.net/10419/29555
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| Title: | | A two-factor model for electricity prices with dynamic volatility  |
| Authors: | | Schlüter, Stephan |
| Issue Date: | | 2009 |
| Series/Report no.: | | IWQW discussion paper series 04/2009 |
| Abstract: | | The wavelet transform is used to identify a biannual and an annual seasonality in the Phelix Day Peak and to separate the long-term trend from its short-term motion. The short-term/long-term model for commodity prices of Schwartz & Smith (2000) is applied but generalised to account for weekly periodicities and time-varying volatility. Eventually we find a bivariate SARMA-CCC-GARCH model to fit best. Moreover it surpasses the goodness of fit of an univariate GARCH model, which shows that the additional effort of dealing with a two-factor model is worthwile. |
| Subjects: | | Wavelets Seasonal Filter Relative Wavelet Energy Multivariate GARCH Energy Price Modelling |
| JEL: | | C32 C51 |
| Document Type: | | Working Paper |
| Appears in Collections: | | IWQW Discussion Paper Series, FAU Erlangen-Nürnberg
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