EN
Retailer Value-at-Risk in Interconnected Power Markets: An Australian Empirical Analysis
Abstract
This paper investigates Value-at-Risk (VaR) in the Australian interconnected power markets. We model the price change using seven different volatility models and perform the back testing from both investors’ (sellers’ side) and retailers’ (buyers’ side) perspectives. From investors’ perspective, we find that GARCH (1,1) model outperforms moving average (MA) and EWMA models. On the other hand, the moving average (MA) outperforms various GARCH (1,1) models from retailers’ perspective. Our findings lead to a new insight to analyze carefully the position of modelling risk in power market since different position generates different result.
Keywords
Details
Primary Language
English
Subjects
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Journal Section
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Publication Date
August 1, 2016
Submission Date
August 1, 2016
Acceptance Date
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Published in Issue
Year 2016 Volume: 6 Number: 6
APA
Handika, R., & Triandaru, S. (2016). Retailer Value-at-Risk in Interconnected Power Markets: An Australian Empirical Analysis. International Journal of Economics and Financial Issues, 6(6), 6-9. https://izlik.org/JA82DX87NL
AMA
1.Handika R, Triandaru S. Retailer Value-at-Risk in Interconnected Power Markets: An Australian Empirical Analysis. IJEFI. 2016;6(6):6-9. https://izlik.org/JA82DX87NL
Chicago
Handika, Rangga, and Sigit Triandaru. 2016. “Retailer Value-at-Risk in Interconnected Power Markets: An Australian Empirical Analysis”. International Journal of Economics and Financial Issues 6 (6): 6-9. https://izlik.org/JA82DX87NL.
EndNote
Handika R, Triandaru S (August 1, 2016) Retailer Value-at-Risk in Interconnected Power Markets: An Australian Empirical Analysis. International Journal of Economics and Financial Issues 6 6 6–9.
IEEE
[1]R. Handika and S. Triandaru, “Retailer Value-at-Risk in Interconnected Power Markets: An Australian Empirical Analysis”, IJEFI, vol. 6, no. 6, pp. 6–9, Aug. 2016, [Online]. Available: https://izlik.org/JA82DX87NL
ISNAD
Handika, Rangga - Triandaru, Sigit. “Retailer Value-at-Risk in Interconnected Power Markets: An Australian Empirical Analysis”. International Journal of Economics and Financial Issues 6/6 (August 1, 2016): 6-9. https://izlik.org/JA82DX87NL.
JAMA
1.Handika R, Triandaru S. Retailer Value-at-Risk in Interconnected Power Markets: An Australian Empirical Analysis. IJEFI. 2016;6:6–9.
MLA
Handika, Rangga, and Sigit Triandaru. “Retailer Value-at-Risk in Interconnected Power Markets: An Australian Empirical Analysis”. International Journal of Economics and Financial Issues, vol. 6, no. 6, Aug. 2016, pp. 6-9, https://izlik.org/JA82DX87NL.
Vancouver
1.Rangga Handika, Sigit Triandaru. Retailer Value-at-Risk in Interconnected Power Markets: An Australian Empirical Analysis. IJEFI [Internet]. 2016 Aug. 1;6(6):6-9. Available from: https://izlik.org/JA82DX87NL