Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information Arrival and Calendar Effects
Higgs, Helen & Worthington, Andrew C. (2004) Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information Arrival and Calendar Effects. [Working Paper] (Unpublished)
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, Risk Metrics, normal Asymmetric Power ARCH or APARCH, Student APARCH and skewed Student APARCH are used to model the timevarying 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 three of the markets with the Student APARCH model performing better in the fourth. 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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|Item Type:||Working Paper|
|Keywords:||price volatility, Electricity Markets|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2004 (please consult author)|
|Deposited On:||08 Feb 2005 00:00|
|Last Modified:||05 Jan 2011 13:24|
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