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

Yıl 2017, , 621 - 638, 24.12.2017

Talat Ulussever , Mehmet Ali Soytaş , Hasan Murat Ertuğrul

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

Öz

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.

Anahtar Kelimeler

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

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