This paper contributes to the characterization of the probability density of the price returns in some European day-ahead electricity markets (NordPool, APX, Powernext) by fitting flexible and general families of distributions, such as the α-stable, Normal Inverse Gaussian (NIG), Exponential Power (EP), and Asymmetric Exponential Power (AEP) distributions, and comparing their goodness of fit. The α-stable and the NIG systematically outperform the EP and AEP models, but the tail behavior and the skewness are sensitive to the definition of the returns and to the deseasonalization methods. In particular, the logarithmic transform and volatility rescaling tend to dampen the extreme returns.
Modeling the distribution of day-ahead electricity returns: a comparison
SAPIO, Alessandro
2012-01-01
Abstract
This paper contributes to the characterization of the probability density of the price returns in some European day-ahead electricity markets (NordPool, APX, Powernext) by fitting flexible and general families of distributions, such as the α-stable, Normal Inverse Gaussian (NIG), Exponential Power (EP), and Asymmetric Exponential Power (AEP) distributions, and comparing their goodness of fit. The α-stable and the NIG systematically outperform the EP and AEP models, but the tail behavior and the skewness are sensitive to the definition of the returns and to the deseasonalization methods. In particular, the logarithmic transform and volatility rescaling tend to dampen the extreme returns.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
