| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1514144 | Energy Procedia | 2012 | 6 Pages |
The volatility of electricity prices is the important information for the risk management of electricity markets and the pricing of electricity financial derivatives. A multicycle GARCH-M model based on Gram-Charlier series expansion of the normal probability density function is proposed, in which the time trend, time-varying variance, time-vaying skewness, multicycles and the relationship among load and spot price can be fully taken into account. The numerical example based on the historical data of the Pennsylvania-New Jersey-Maryland electricity market shows that the time-varying variance and squared system load have a significant effect on the average daily electricity prices, there exist volatility clustering and weekly, semi-monthly, monthly, bimonthly, quarterly and semi-annual periods, and the second and third moments of electricity price series manifest the clear synchronous time-varying characteristics.
