dc.contributor.author | Higgs, Helen | |
dc.contributor.author | Worthington, Andrew | |
dc.contributor.editor | RSJ Tol | |
dc.date.accessioned | 2017-05-03T15:14:07Z | |
dc.date.available | 2017-05-03T15:14:07Z | |
dc.date.issued | 2008 | |
dc.date.modified | 2009-04-17T07:10:31Z | |
dc.identifier.issn | 0140-9883 | |
dc.identifier.uri | http://hdl.handle.net/10072/22289 | |
dc.description.abstract | It is commonly known that wholesale spot electricity markets exhibit high price volatility, strong mean-reversion and frequent extreme price spikes. This paper employs a basic stochastic model, a mean-reverting model and a regime-switching model to capture these features in the Australian national electricity market (NEM), comprising the interconnected markets of New South Wales, Queensland, South Australia and Victoria. Daily spot prices from 1 January 1999 to 31 December 2004 are employed. The results show that the regime-switching model outperforms the basic stochastic and mean-reverting models. Electricity prices are also found to exhibit stronger mean-reversion after a price spike than in the normal period, and price volatility is more than fourteen times higher in spike periods than in normal periods. The probability of a spike on any given day ranges between 5.16 percent in NSW to 9.44 percent in Victoria. | |
dc.description.peerreviewed | Yes | |
dc.description.publicationstatus | Yes | |
dc.language | English | |
dc.language.iso | eng | |
dc.publisher | Elsevier | |
dc.publisher.place | North Holland, Netherlands | |
dc.relation.ispartofstudentpublication | N | |
dc.relation.ispartofpagefrom | 3172 | |
dc.relation.ispartofpageto | 3185 | |
dc.relation.ispartofissue | 6 | |
dc.relation.ispartofjournal | Energy Economics | |
dc.relation.ispartofvolume | 30 | |
dc.rights.retention | Y | |
dc.subject.fieldofresearch | Stochastic analysis and modelling | |
dc.subject.fieldofresearch | Mechanical engineering | |
dc.subject.fieldofresearch | Applied economics | |
dc.subject.fieldofresearch | Time-series analysis | |
dc.subject.fieldofresearchcode | 490510 | |
dc.subject.fieldofresearchcode | 4017 | |
dc.subject.fieldofresearchcode | 3801 | |
dc.subject.fieldofresearchcode | 380205 | |
dc.title | Stochastic price modeling of high volatility, mean-reverting, spike-prone commodities: The Australian wholesale spot electricity market | |
dc.type | Journal article | |
dc.type.description | C1 - Articles | |
dc.type.code | C - Journal Articles | |
gro.faculty | Griffith Business School, Department of Accounting, Finance and Economics | |
gro.date.issued | 2008 | |
gro.hasfulltext | No Full Text | |
gro.griffith.author | Worthington, Andrew C. | |
gro.griffith.author | Higgs, Helen | |