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dc.contributor.authorHiggs, Helenen_US
dc.contributor.authorWorthington, Andrewen_US
dc.contributor.editorAdonis Yatchewen_US
dc.date.accessioned2017-05-03T15:14:08Z
dc.date.available2017-05-03T15:14:08Z
dc.date.issued2005en_US
dc.date.modified2013-02-07T04:47:41Z
dc.identifier.issn01956574en_US
dc.identifier.urihttp://hdl.handle.net/10072/15398
dc.description.abstractThis 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.en_US
dc.description.peerreviewedYesen_US
dc.description.publicationstatusYesen_US
dc.languageEnglishen_US
dc.language.isoen_US
dc.publisherInternational Association for Energy Economicsen_US
dc.publisher.placeUSAen_US
dc.publisher.urihttp://www.iaee.org/en/publications/journal.aspxen_US
dc.relation.ispartofstudentpublicationYen_US
dc.relation.ispartofpagefrom23en_US
dc.relation.ispartofpageto41en_US
dc.relation.ispartofedition2005en_US
dc.relation.ispartofissue4en_US
dc.relation.ispartofjournalEnergy Journalen_US
dc.relation.ispartofvolume26en_US
dc.rights.retentionYen_US
dc.subject.fieldofresearchcode340403en_US
dc.titleSystematic features of high-frequency volatility in Australian electricity markets: Intraday patterns, information arrival and calendar effectsen_US
dc.typeJournal articleen_US
dc.type.descriptionC1 - Peer Reviewed (HERDC)en_US
dc.type.codeC - Journal Articlesen_US
gro.rights.copyrightCopyright 2005 IAEE. Use hypertext link for access to journal's website.en_US
gro.date.issued2005
gro.hasfulltextNo Full Text


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