Systematic features of high-frequency volatility in Australian electricity markets: Intraday patterns, information arrival and calendar effects

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Title Systematic features of high-frequency volatility in Australian electricity markets: Intraday patterns, information arrival and calendar effects
Author Higgs, Helen; Worthington, Andrew Charles
Journal Name Energy Journal
Editor Adonis Yatchew
Year Published 2005
Place of publication USA
Publisher International Association for Energy Economics
Abstract This paper investigates the intraday price volatility process in four Australian wholesale electricity markets; namely New South Wales, Queensland, South Australia and Victoria. The data set consists of half-hourly electricity prices and demand volumes over the period 1 January 2002 to 1 June 2003. A range of processes including GARCH, RiskMetrics, normal Asymmetric Power ARCH or APARCH, Student APARCH and skewed Student APARCH are used to model the time-varying variance in prices and the inclusion of news arrival as proxied by the contemporaneous volume of demand, time-of-day, day-of-week and month-of-year effects as exogenous explanatory variables. The skewed Student APARCH model, which takes account of right skewed and fat tailed characteristics, produces the best results in all four markets. The results indicate significant innovation spillovers (ARCH effects) and volatility spillovers (GARCH effects) in the conditional standard deviation equation, even with market and calendar effects included. Intraday prices also exhibit significant asymmetric responses of volatility to the flow of information.
Peer Reviewed Yes
Published Yes
Publisher URI http://www.iaee.org/en/publications/journal.aspx
Copyright Statement Copyright 2005 IAEE. Use hypertext link for access to journal's website.
Volume 26
Issue Number 4
Edition 2005
Page from 23
Page to 41
ISSN 0195-6574
Date Accessioned 2006-07-04
Date Available 2013-02-07T04:47:41Z
Language en_US
Research Centre Griffith Asia Institute
Faculty Griffith Business School
Subject PRE2009-Time-Series Analysis
URI http://hdl.handle.net/10072/15398
Publication Type Journal Articles (Refereed Article)
Publication Type Code c1x

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