Skip to main content
Article
Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis
International Advances in Economic Research (2007)
  • Bruno Bosco
  • Lucia Parisio
  • Matteo M. Pelagatti
Abstract

In this paper we analyze a time series of daily average prices in the Italian electricity market, which started to operate as a Pool in April 2004. Our objective is to model the high degree of autocorrelation and the multiple seasonalities in electricity prices. We use periodic time series models with GARCH disturbances and leptokurtic distributions and compare their performance with more classical ARMA-GARCH processes. The within-year seasonal variation is modelled using the low-frequency components of physical quantities, which are very regular throughout the sample. Our results reveal that much of the variability in the price series is explained by the interactions between deterministic multiple seasonalities. Periodic AR-GARCH models seem to perform quite well in mimicking the features of the stochastic part of the price process.

Keywords
  • Electricity auctions,
  • Periodic time series,
  • Conditional heteroskedasticity,
  • Multiple seasonalities
Publication Date
November, 2007
Citation Information
Bruno Bosco, Lucia Parisio and Matteo M. Pelagatti. "Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis" International Advances in Economic Research Vol. 13 Iss. 4 (2007)
Available at: http://works.bepress.com/matteo_pelagatti/2/