Modelling energy spot prices: Empirical evidence from NYMEX

► This paper investigates the behaviour of spot prices in eight energy markets on NYMEX. ► We propose a spike model with two mean reversion speeds; a fast for spikes and a slow for normal shocks. ► We also extend the model to include GARCH and EGARCH volatility processes. ► The model captures effectively the trajectoral and distributional properties of energy prices. ► The models outperforms standard benchmarks in an out-of-sample VaR exercise.