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Empirical evidences about electricity hourly prices in some European markets

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Empirical evidences about electricity hourly prices in some European markets

t

t EHP

p

t

t B B p

z 1 241 168

144 120 96 72 48 24 24

168 1 1

1 B B B B B B B B

144 120 96 72 48 2 24 24 168

241 1 1

1 B B B B B B B B B

t

t B B p

z 0.51 24 0.51 168 zt 1 0,5B24 0,5B168pt

t

zt

B 0

1 1 1 1B zt t

t 1 1

1 1

1 1

1 Bzt zt t

0

1 1

t t

t

t u

2 1 1 2

1 1 2

t t

t ut

24 t

t Var

Var

2 1 1 2

1 1 2

t k t k k t

2 24 24 2

1 1 2

t t t

ut t

ut

2 24 24 2

1 1 2

0 168 24

1 1 0.5 0.5

1

t t t

t t t t

t

u p B B B

EHP p

ut

parameter ITALY SPAIN GERMANY NORWAY

phi0 (1) -0,0030 0,0002 -0,0006 -0,0020

phi1 0,7854 0,8541 0,8951 0,9076

phi1 bis - - - 0,2254 omega 0,1109 0,0028 0,0081 -

alfa1 0,2129 0,1871 0,2066 0,1755

beta24 0,3850 0,7648 0,7172 0,8245

mean EHP 87,02 50,72 52,57 39,88

RMSE 9,63 3,23 4,63 1,96

RMRSE (2) 12,3% 10,7% 13,4% 9,0%

0

P H E P H E EHP

Mean ˆ / ˆ

ITALY

0,00 0,10 0,20 0,30 0,40 0,50 0,60

-5 -4 -3 -2 -1 0 1 2 3 4 5

df=4,6

SPAIN

0,00 0,10 0,20 0,30 0,40 0,50 0,60

-5 -4 -3 -2 -1 0 1 2 3 4 5

df=3,9

GERMANY and AUSTRIA

0,00 0,10 0,20 0,30 0,40 0,50 0,60

-5 -4 -3 -2 -1 0 1 2 3 4 5

df=3,9

NORWAY

0,00 0,10 0,20 0,30 0,40 0,50 0,60 0,70

-5 -4 -3 -2 -1 0 1 2 3 4 5

df=3,6

- -

t t

t B u

p B B

B 24 168 0 168 168

1 1 0,5 0,5 1

1

t t

t u

p B B B

B 336 0

336 168 168 24 24

1 1

1

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