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dc.contributor.authorHiggs, H
dc.contributor.authorWorthington, AC
dc.contributor.editorAdonis Yatchew
dc.date.accessioned2018-07-23T04:37:39Z
dc.date.available2018-07-23T04:37:39Z
dc.date.issued2005
dc.date.modified2013-02-07T04:47:41Z
dc.identifier.issn0195-6574
dc.identifier.urihttp://hdl.handle.net/10072/15398
dc.description.abstractThis 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.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherInternational Association for Energy Economics
dc.publisher.placeUSA
dc.publisher.urihttp://www.jstor.org/stable/41323071
dc.relation.ispartofstudentpublicationY
dc.relation.ispartofpagefrom23
dc.relation.ispartofpageto41
dc.relation.ispartofedition2005
dc.relation.ispartofissue4
dc.relation.ispartofjournalEnergy Journal
dc.relation.ispartofvolume26
dc.rights.retentionY
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchcode3801
dc.titleSystematic features of high-frequency volatility in Australian electricity markets: Intraday patterns, information arrival and calendar effects
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
dc.description.versionAccepted Manuscript (AM)
gro.rights.copyright© 2005 IAEE. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal website for access to the definitive, published version.
gro.date.issued2005
gro.hasfulltextFull Text
gro.griffith.authorHiggs, Helen
gro.griffith.authorWorthington, Andrew C.


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