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A comparative study of factor models for different periods of the electricity spot price market

Author

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  • Laudagé, Christian
  • Aichinger, Florian
  • Desmettre, Sascha

Abstract

Due to major shifts in the European energy supply, a structural change can be observed in Austrian electricity spot price data starting from the second quarter of the year 2021 onward. In this work, we study the performance of two different factor models for the electricity spot price in three different time periods. To this end, we consider three samples of EEX data for the Austrian base load electricity spot price, one from the pre-crisis from 2018 to 2021, the second from the time of the crisis from 2021 to 2023, and the whole data from 2018 to 2023. For each of these samples, we investigate the fit of a classical 3-factor model with a Gaussian base signal and one positive and one negative jump signal and compare it with a 4-factor model to assess the effect of adding a second Gaussian base signal to the model.

Suggested Citation

  • Laudagé, Christian & Aichinger, Florian & Desmettre, Sascha, 2024. "A comparative study of factor models for different periods of the electricity spot price market," Journal of Commodity Markets, Elsevier, vol. 36(C).
    • Handle: RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000540
    DOI: 10.1016/j.jcomm.2024.100435
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    More about this item

    Keywords

    Multi-factor models; Bayesian calibration; Markov Chain Monte Carlo; Ornstein–Uhlenbeck processes; Electricity spot price; Jump processes;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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