Analysis of French Electric Market using Heteroscedastic Models of Time Series

被引：0

作者：

Lopez, Damian ^{[1
]}

Juan, Jesus ^{[1
]}

机构：

[1] Univ Politecn Madrid, Escuela Tecn Super Ingenieros Ind, E-28006 Madrid, Spain

来源：

2008 5TH INTERNATIONAL CONFERENCE ON THE EUROPEAN ELECTRICITY MARKET, VOLS 1 AND 2 | 2008年

关键词：

ARCH; ARIMA; Electricity prices; GARCH; market modelling;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A dynamic long memory regression model with autoregressive errors is considered for the analysis of hourly electricity spot prices. The method provides reliable and accurate forecasts of hourly prices in the electricity market of France, Powernext Day-Ahead. The presence of significant autocorrelation in squared residual recommends to fit a conditional heteroscedastic time series model. These models together have appealing economic and statistical implications.

引用

页码：111 / 116

页数：6

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