Characteristic Analysis of the Electricity Price Fluctuation: An Empirical Analysis Based on California’s Day-Ahead Market

Abstract:

The paper deals with the Day-ahead Market of California between Apr. 1st, 1998 and Jan. 31, 2001 and divided each day to high-load period and low-load period, described the characteristics of electricity price fluctuation by ARCH models. The results showed that ARCH models under t-distribution matched the volatility of the sample series quite well, captured the series’ heteroscedasticity and the obvious peak and fat tail effectively; the total risk of the day-ahead market in the sample was high, the impacts from external information on the conditional variances was permanent and sustainable, the impacts could not disappear in a short time once the price were fluctuated; the daily mean price fluctuation and low-load period price fluctuation were not asymmetric; while high-load period were significantly asymmetrical.

• Periodical: Advanced Materials Research (Volumes 1070-1072)
• Pages: 1534-1540
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.1070-1072.1534
• Online since: December 2014
• Authors: Pin Jie Xie, Chen Chen Huang, Xian You Pan
• Keywords: ARCH Model, Day-Ahead Market, Electricity Price

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