CMStatistics 2016: Start Registration
View Submission - CFE
A1567
Title: Modelling and forecasting realised volatility in German-Austrian continuous intraday electricity prices Authors:  Ainhoa Zarraga - University of the Basque Country, UPV/EHU (Spain) [presenting]
Aitor Ciarreta - University of the Basque Country (Spain)
Peru Muniain - University of the Basque Country (Spain)
Abstract: The aim is to use high-frequency continuous intraday electricity price data from the EPEX market to estimate and forecast realised volatility. Three different jump tests are used to break down the variation into jump and continuous components using quadratic variation theory. Several heterogeneous autoregressive models are then estimated for the logarithmic and standard deviation transformations. GARCH structures are included in the error terms of the models when evidence of conditional heteroscedasticity is found. Model selection is based on various out-of-sample criteria. Results show that decomposition of realised volatility is important for forecasting and that the decision whether to include GARCH-type innovations might depend on the transformation selected. Finally, results are sensitive to the jump test used in the case of the standard deviation transformation.