Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/197723 
Year of Publication: 
2017
Series/Report no.: 
ISER Discussion Paper No. 991
Publisher: 
Osaka University, Institute of Social and Economic Research (ISER), Osaka
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.
Document Type: 
Working Paper

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