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  • Systematic features of high-frequency volatility in Australian electricity markets: Intraday patterns, information arrival and calendar effects

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    Accepted Manuscript (AM)
    Author(s)
    Higgs, H
    Worthington, AC
    Griffith University Author(s)
    Higgs, Helen
    Worthington, Andrew C.
    Year published
    2005
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    Abstract
    This paper investigates the intraday price volatility process in four Australian wholesale electricity markets; namely New South Wales, Queensland, South Australia and Victoria. The data set consists of half-hourly electricity prices and demand volumes over the period 1 January 2002 to 1 June 2003. A range of processes including GARCH, RiskMetrics, normal Asymmetric Power ARCH or APARCH, Student APARCH and skewed Student APARCH are used to model the time-varying variance in prices and the inclusion of news arrival as proxied by the contemporaneous volume of demand, time-of-day, day-of-week and month-of-year effects as exogenous ...
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    This paper investigates the intraday price volatility process in four Australian wholesale electricity markets; namely New South Wales, Queensland, South Australia and Victoria. The data set consists of half-hourly electricity prices and demand volumes over the period 1 January 2002 to 1 June 2003. A range of processes including GARCH, RiskMetrics, normal Asymmetric Power ARCH or APARCH, Student APARCH and skewed Student APARCH are used to model the time-varying variance in prices and the inclusion of news arrival as proxied by the contemporaneous volume of demand, time-of-day, day-of-week and month-of-year effects as exogenous explanatory variables. The skewed Student APARCH model, which takes account of right skewed and fat tailed characteristics, produces the best results in all four markets. The results indicate significant innovation spillovers (ARCH effects) and volatility spillovers (GARCH effects) in the conditional standard deviation equation, even with market and calendar effects included. Intraday prices also exhibit significant asymmetric responses of volatility to the flow of information.
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    Journal Title
    Energy Journal
    Volume
    26
    Issue
    4
    Publisher URI
    http://www.jstor.org/stable/41323071
    Copyright Statement
    © 2005 IAEE. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal website for access to the definitive, published version.
    Subject
    Applied economics
    Publication URI
    http://hdl.handle.net/10072/15398
    Collection
    • Journal articles

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