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首页> 外文会议>Proceedings of the Third IASTED International Conference on Financial Engineering and Applications >EMPIRICAL STUDY OF SPOT RETURNS IN THE AUSTRALIAN ELECTRICITY MARKET
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EMPIRICAL STUDY OF SPOT RETURNS IN THE AUSTRALIAN ELECTRICITY MARKET

机译：澳大利亚电力市场中返还点的实证研究

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摘要

With the introduction of competitive markets in the electricity industry, there is a growing demand for research in spot price modeling and forecasting.Electricity is different from other commodities due to its non-storable feature. Hence its spot price and return present unique characteristics, which spot price models should endeavor to capture. In essence, the objective of this paper is to analyze the spot returns and to establish the existence of asymmetric effect of spot returns on volatility and the relation between price jumps and negative skewness. Using the historical data from the Victorian market in Australia, both estimation and simulation results confirm the validity of our hypotheses.The research findings are important for model selection when modeling electricity spot price and its volatility, in that the above-mentioned factors should be considered when selecting electricity spot price models.
机译：随着电力行业竞争市场的引入，对现货价格建模和预测的研究需求不断增长。由于其不可存储的特性，电力不同于其他商品。因此，它的现货价格和回报表现出独特的特征，现货价格模型应该努力捕捉。本质上，本文的目的是分析现货收益，并建立现货收益对波动率的不对称效应以及价格跳跃和负偏度之间的关系。利用澳大利亚维多利亚州市场的历史数据，估计和模拟结果都证实了我们的假设的有效性。研究结果对于建模电价及其波动性时的模型选择非常重要，因为应考虑上述因素选择电现货价格模型时。

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