Janczura, Joanna and Weron, Rafal (2010): An empirical comparison of alternate regimeswitching models or electricity spot prices.
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Abstract
One of the most profound features of electricity spot prices are the price spikes. Markov regimeswitching (MRS) models seem to be a natural candidate for modeling this spiky behavior. However, in the studies published so far, the goodnessoffit of the proposed models has not been a major focus. While most of the models were elegant, their fit to empirical data has either been not examined thoroughly or the signs of a bad fit ignored. With this paper we want to fill the gap. We calibrate and test a range of MRS models in an attempt to find parsimonious specifications that not only address the main characteristics of electricity prices but are statistically sound as well. We find that the most universal and robust structure is that of an independent spike 3regime model with heteroscedastic diffusiontype base regime dynamics and shifted spike regime distributions.
Item Type:  MPRA Paper 

Original Title:  An empirical comparison of alternate regimeswitching models or electricity spot prices 
Language:  English 
Keywords:  Electricity spot price, Spikes, Markov regimeswitching, Heteroscedasticity 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C51  Model Construction and Estimation Q  Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4  Energy > Q47  Energy Forecasting 
Item ID:  20546 
Depositing User:  Joanna Janczura 
Date Deposited:  07. Feb 2010 22:18 
Last Modified:  13. Feb 2013 13:13 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/20546 
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