テクニカルレポート Modelling Realized Volatility in Electricity Spot Prices : New insights and Application to the Japanese Electricity Market

Muniain, Peru  ,  Zarraga, Ainhoa  ,  Ciarreta, Aitor

991pp.1 - 29 , 2017-02 , The Institute of Social and Economic Research, Osaka University
内容記述
The paper analyzes volatility of the electricity prices in the Japanese day-ahead market using realized volatility. We use several jump tests to decompose total realized variation into jump and continuous components. Then, we estimate several HAR models that show the time-dependence structure of the volatility. Our results show that even though that market is narrow, it is relevant to identify jumps in volatility. Besides, modeling residuals improve estimation results. The time-dependent structure of the prices is present in volatility as well.

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