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dc.contributor.authorHiggs, Helen
dc.contributor.authorWorthington, Andrew
dc.contributor.editorRSJ Tol
dc.date.accessioned2017-05-03T15:14:07Z
dc.date.available2017-05-03T15:14:07Z
dc.date.issued2008
dc.date.modified2009-04-17T07:10:31Z
dc.identifier.issn0140-9883
dc.identifier.urihttp://hdl.handle.net/10072/22289
dc.description.abstractIt 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.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.publisher.placeNorth Holland, Netherlands
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom3172
dc.relation.ispartofpageto3185
dc.relation.ispartofissue6
dc.relation.ispartofjournalEnergy Economics
dc.relation.ispartofvolume30
dc.rights.retentionY
dc.subject.fieldofresearchStochastic analysis and modelling
dc.subject.fieldofresearchMechanical engineering
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchTime-series analysis
dc.subject.fieldofresearchcode490510
dc.subject.fieldofresearchcode4017
dc.subject.fieldofresearchcode3801
dc.subject.fieldofresearchcode380205
dc.titleStochastic price modeling of high volatility, mean-reverting, spike-prone commodities: The Australian wholesale spot electricity market
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.date.issued2008
gro.hasfulltextNo Full Text
gro.griffith.authorWorthington, Andrew C.
gro.griffith.authorHiggs, Helen


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