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Retailer Value-at-Risk in Interconnected Power Markets: An Australian Empirical Analysis

Year 2016, Volume: 6 Issue: 6, 6 - 9, 01.08.2016

Rangga Handika Sigit Triandaru

https://izlik.org/JA82DX87NL

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

Power markets Volatility Value-at-Risk Back-testing

Year 2016, Volume: 6 Issue: 6, 6 - 9, 01.08.2016

Rangga Handika Sigit Triandaru

https://izlik.org/JA82DX87NL

Abstract

There are 0 citations in total.

Details

Other ID JA62KS52EH
Authors

Rangga Handika This is me

Sigit Triandaru This is me

Publication Date August 1, 2016
IZ https://izlik.org/JA82DX87NL
Published in Issue Year 2016 Volume: 6 Issue: 6

Cite

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