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Dergiler / Ege Akademik Bakış Dergisi / 2026 / Cilt: 22 Sayı: 1

On modelling electricity spot prices: A case study for the Turkish market

Ali Ulvi Özgül(PAMUKKALE UNIVERSITY)0000-0002-1082-2652
Dündar Kök(PAMUKKALE UNIVERSITY)0000-0002-5250-3369
Sayfa
33–48
Yayın Tarihi
2022-01-30
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

Finally, underlying economic interactions and policy implications for the market are discussed.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:This paper demonstrates the significance of jump threshold in terms of modeling and generating realistic trajectories for an electricity spot price process.
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Temel Bulgular & Veri:Determining the suitable threshold and choosing among distributions proposed in literature are key to the followed moment-matching strategy.
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Sonuç & Katkı:Finally, underlying economic interactions and policy implications for the market are discussed.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:2015 Verileri
⚙️Değişkenler:Turkish electricity market · Spot price models · Seasonality modelling

Abstract

This paper demonstrates the significance of jump threshold in terms of modeling and generating realistic trajectories for an electricity spot price process. Determining the suitable threshold and choosing among distributions proposed in literature are key to the followed moment-matching strategy. This is implemented in a two-factor model framework with the Turkish spot electricity price data. The market studied is a developing one which has taken huge steps in liberalization by learning from more advanced markets, yet with limited research on her spot price dynamics. The selected two-factor model entails downward jumps, which are increasingly getting essential components of the process with the progressing integration of renewable sources. Such components are notably observed since 2015 in the spot market. Moreover, considering structural changes in seasonality both improves the model fit and reveals the same year as the break year for Turkish market. Finally, underlying economic interactions and policy implications for the market are discussed.

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Bu Makaleye Atıf Yap

Özgül, A. U., Kök, D. (2022). On modelling electricity spot prices: A case study for the Turkish market. Ege Akademik Bakış Dergisi, Cilt: 22 Sayı: 1, 33–48. https://doi.org/10.21121/eab.1060605

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