Testing Day-of-the-week persistence and seasonality in Spanish Electricity Energy prices

Yaya, OlaOluwa S. (2021): Testing Day-of-the-week persistence and seasonality in Spanish Electricity Energy prices. Forthcoming in: Energy Research Letters

Abstract

Day-of-the-week persistence and seasonality of electricity prices in Spain, spanning 01/01/2006 to 04/11/2021, are investigated by employing updated fractional persistence frameworks in non-linear settings. The results show marginal higher persistence in electricity prices during the working days (Tuesday, Wednesday, Thursday, and Friday) compared to weekend days. In all cases, electricity prices are mean-reverting with long-range dependence properties. Results also show that the monthly electricity price series contain no seasonal effect.

• Item Type: MPRA Paper
• Language: English
• Keywords: Electricity prices; Fractional persistence; Unit root; Day-of-the-week effect; seasonality; Spain
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4 - Energy > Q47 - Energy Forecasting

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