MODELLING PRICE DYNAMICS IN TURKISH ELECTRICITY MARKET: LESSONS FROM GARCH ESTIMATES

Talat Ulussever; Mehmet Ali Soytaş; Hasan Murat Ertuğrul

doi:10.14780/muiibd.384221

MODELLING PRICE DYNAMICS IN TURKISH ELECTRICITY MARKET: LESSONS FROM GARCH ESTIMATES

Abstract

In this paper, we estimate electricity market volatility in Turkey using various GARCH-class models. Spot price in Turkish electricity market exhibits significant variation and therefore, conditional modelling of the volatility can make us better understand the price dynamics of this important market. We estimate volatilities of weekly prices over the period of January 2010 to April 2017 and compare the performance of various GARCH models that take into account the asymmetric effects, possible mean effects of the volatility, fat-tails of the distribution and persistence of the volatility series. We found time varying volatility is an important feature of the price dynamics in Turkish electricity market and additionally, in modelling volatility, paying attention to the extreme price changes via heavy tailed distributions improves the model fit substantially.

Keywords

Electricity Market,Volatility Modelling,GARCH,Nonlinear Modelling,Nonlinear time series

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Details

Primary Language

Turkish

Subjects

Economics

Journal Section

Research Article

Authors

Talat Ulussever ^*

Mehmet Ali Soytaş

Hasan Murat Ertuğrul This is me

Publication Date

December 24, 2017

Submission Date

September 1, 2017

Acceptance Date

-

Published in Issue

Year 2017 Volume: 39 Number: 2

DOI

https://doi.org/10.14780/muiibd.384221

IZ

https://izlik.org/JA86YF82BJ

Cite

RIS / Bibtex

APA

Ulussever, T., Soytaş, M. A., & Ertuğrul, H. M. (2017). MODELLING PRICE DYNAMICS IN TURKISH ELECTRICITY MARKET: LESSONS FROM GARCH ESTIMATES. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 39(2), 621-638. https://doi.org/10.14780/muiibd.384221

AMA

1.Ulussever T, Soytaş MA, Ertuğrul HM. MODELLING PRICE DYNAMICS IN TURKISH ELECTRICITY MARKET: LESSONS FROM GARCH ESTIMATES. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2017;39(2):621-638. doi:10.14780/muiibd.384221

Chicago

Ulussever, Talat, Mehmet Ali Soytaş, and Hasan Murat Ertuğrul. 2017. “MODELLING PRICE DYNAMICS IN TURKISH ELECTRICITY MARKET: LESSONS FROM GARCH ESTIMATES”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi 39 (2): 621-38. https://doi.org/10.14780/muiibd.384221.

EndNote

Ulussever T, Soytaş MA, Ertuğrul HM (December 1, 2017) MODELLING PRICE DYNAMICS IN TURKISH ELECTRICITY MARKET: LESSONS FROM GARCH ESTIMATES. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 39 2 621–638.

IEEE

[1]T. Ulussever, M. A. Soytaş, and H. M. Ertuğrul, “MODELLING PRICE DYNAMICS IN TURKISH ELECTRICITY MARKET: LESSONS FROM GARCH ESTIMATES”, Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol. 39, no. 2, pp. 621–638, Dec. 2017, doi: 10.14780/muiibd.384221.

ISNAD

Ulussever, Talat - Soytaş, Mehmet Ali - Ertuğrul, Hasan Murat. “MODELLING PRICE DYNAMICS IN TURKISH ELECTRICITY MARKET: LESSONS FROM GARCH ESTIMATES”. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 39/2 (December 1, 2017): 621-638. https://doi.org/10.14780/muiibd.384221.

JAMA

1.Ulussever T, Soytaş MA, Ertuğrul HM. MODELLING PRICE DYNAMICS IN TURKISH ELECTRICITY MARKET: LESSONS FROM GARCH ESTIMATES. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2017;39:621–638.

MLA

Ulussever, Talat, et al. “MODELLING PRICE DYNAMICS IN TURKISH ELECTRICITY MARKET: LESSONS FROM GARCH ESTIMATES”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, vol. 39, no. 2, Dec. 2017, pp. 621-38, doi:10.14780/muiibd.384221.

Vancouver

1.Talat Ulussever, Mehmet Ali Soytaş, Hasan Murat Ertuğrul. MODELLING PRICE DYNAMICS IN TURKISH ELECTRICITY MARKET: LESSONS FROM GARCH ESTIMATES. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2017 Dec. 1;39(2):621-38. doi:10.14780/muiibd.384221