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Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets
Studies in Nonlinear Dynamics & Econometrics (2006)
  • Apostolos Serletis, University of Calgary
  • Akbar Shahmoradi
Abstract
In this paper we specify and estimate a multivariate GARCH-M model of natural gas and electricity price changes, and test for causal relationships between natural gas and electricity price changes and their volatilities, using data over the deregulated period from January 1, 1996 to November 9, 2004 from Alberta's (deregulated) spot power and natural gas markets. The model allows for the possibilities of spillovers and asymmetries in the variance-covariance structure for natural gas and electricity price changes, and also for the separate examination of the effects of the volatility of anticipated and unanticipated changes in natural gas and electricity prices.
Keywords
  • multivariate GARCH,
  • Granger causality,
  • electricity markets
Publication Date
December, 2006
Citation Information
Apostolos Serletis and Akbar Shahmoradi. "Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets" Studies in Nonlinear Dynamics & Econometrics Vol. 10 Iss. 3 (2006)
Available at: http://works.bepress.com/akbar_shahmoradi/1/