Please use this identifier to cite or link to this item:
Koopman, Siem Jan
Ooms, Marius
Carnero, M. Angeles
Year of Publication: 
Series/Report no.: 
Tinbergen Institute Discussion Paper 05-091/4
Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method of approximate maximum likelihood. The methods are implemented for time series of 1, 200 to 4, 400 daily price observations. Apart from persistence, heteroskedasticity and extreme observations in prices, a novel empirical finding is the importance of day-of-the-week periodicity in the autocovariance function of electricity spot prices. In particular, daily log prices from the Nord Pool power exchange of Norway are modeled effectively by our framework, which is also extended with explanatory variables. For the daily log prices of three European emerging electricity markets (EEX in Germany, Powernext in France, APX in The Netherlands), which are less persistent, periodicity is also highly significant.
Autoregressive fractionally integrated moving average model
Generalised autoregressive conditional heteroskedasticity model
Long memory process
Periodic autoregressive model
Document Type: 
Working Paper

Files in This Item:
528.54 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.