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dc.contributor.authorHiggs, Helen
dc.contributor.editorNguyen, Tom
dc.date.accessioned2020-01-16T07:54:22Z
dc.date.available2020-01-16T07:54:22Z
dc.date.issued2009
dc.identifier.otherRePEc:gri:epaper:economics:200904
dc.identifier.urihttp://hdl.handle.net/10072/390461
dc.description.abstractThis paper examines the inter-relationships of wholesale spot electricity prices among the four regional electricity markets in the Australian National Electricity Market (NEM) -- namely, New South Wales, Queensland, South Australia and Victoria -- using the constant conditional correlation and Tse and Tsui's (2002) and Engle's (2002) dynamic conditional correlation multivariate GARCH models. Tse and Tsui's (2002) dynamic conditional correlation multivariate GARCH model, which takes account of the Student t specification, produces the best results. At the univariate GARCH(1,1) level, the mean equations indicate the presence of positive own mean spillovers in all four markets and little evidence of mean spillovers from the other lagged markets. In the dynamic conditional correlation equation, the highest conditional correlations are evident between the well-connected markets indicating the presence of strong interdependence between these markets, with weaker interdependence between the not-so-well-interconnected markets.en_US
dc.format.extent22 pages
dc.languageEnglish
dc.publisherGriffith Universityen_US
dc.publisher.placeBrisbane, Australiaen_US
dc.relation.ispartofpagefrom1en_US
dc.relation.ispartofpageto22en_US
dc.subject.keywordsC51 - Model Construction and Estimation
dc.subject.keywordsL94 - Electric Utilities
dc.subject.keywordsC32 - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
dc.subject.keywordsQ40 - Energy: General
dc.subject.keywordsWholesale spot electricity price marketsen_US
dc.subject.keywordsConstant and dynamic conditional correlationen_US
dc.subject.keywordsMultivariate GARCHen_US
dc.title2009-04: Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets (Working paper)en_US
dc.typeReporten_US
dc.type.descriptionDiscussion Paperen_US
gro.facultyGriffith Business School
gro.description.notepublicEconomics and Business Statistics
gro.rights.copyrightCopyright © 2010 by author(s). No part of this paper may be reproduced in any form, or stored in a retrieval system, without prior permission of the author(s).
gro.date.issued2009
gro.hasfulltextFull Text
gro.griffith.authorHiggs, Helen


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