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Journals / Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi / 2017 / Cilt: 39 - Sayı: 2

MODELLING PRICE DYNAMICS IN TURKISH ELECTRICITY MARKET: LESSONS FROM GARCH ESTIMATES

Talat Ulussever
Mehmet Ali Soytaş
Hasan Murat Ertuğrul
Pages
621–638
Publication Date
2017-12-24
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

We found time varying volatility is an important feature of the price dynamics in Turkish electricity market and additionally, in modelling volatility, paying attention to the extreme price changes via heavy tailed distributions improves the model fit substantially.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this paper, we estimate electricity market volatility in Turkey using various GARCH-class models.
📊
Key Findings & Data:Spot price in Turkish electricity market exhibits significant variation and therefore, conditional modelling of the volatility can make us better understand the price dynamics of this important market.
💡
Conclusion & Impact:We found time varying volatility is an important feature of the price dynamics in Turkish electricity market and additionally, in modelling volatility, paying attention to the extreme price changes via heavy tailed distributions improves the model fit substantially.
🔬Design:Modeling & Simulation
📍Scope:2010 Verileri
⚙️Variables:Electricity Market · Volatility Modelling · GARCH

Özet

In this paper, we estimate electricity market volatility in Turkey using various GARCH-class models. Spot price in Turkish electricity market exhibits significant variation and therefore, conditional modelling of the volatility can make us better understand the price dynamics of this important market. We estimate volatilities of weekly prices over the period of January 2010 to April 2017 and compare the performance of various GARCH models that take into account the asymmetric effects, possible mean effects of the volatility, fat-tails of the distribution and persistence of the volatility series. We found time varying volatility is an important feature of the price dynamics in Turkish electricity market and additionally, in modelling volatility, paying attention to the extreme price changes via heavy tailed distributions improves the model fit substantially.

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Cite This Article

Ulussever, T., Soytaş, M. A., Ertuğrul, H. M. (2017). MODELLING PRICE DYNAMICS IN TURKISH ELECTRICITY MARKET: LESSONS FROM GARCH ESTIMATES. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 39 - Sayı: 2, 621–638. https://ajindex.com/articles/6382

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