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Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market

Author

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  • Aitor Ciarreta
  • Peru Muniainy
  • Ainhoa Zarraga

Abstract

The paper analyzes volatility of the electricity prices in the Japanese day-ahead market using realized volatility. We use several jump tests to decompose total realized variation into jump and continuous components. Then, we estimate several HAR models that show the time-dependence structure of the volatility. Our results show that even though that market is narrow, it is relevant to identify jumps in volatility. Besides, modelling residuals improve estimation results. The time-dependent structure of the prices is present in volatility as well.

Suggested Citation

  • Aitor Ciarreta & Peru Muniainy & Ainhoa Zarraga, 2017. "Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market," ISER Discussion Paper 0991, Institute of Social and Economic Research, Osaka University.
    • Handle: RePEc:dpr:wpaper:0991
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    References listed on IDEAS

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