Retailer Value-at-Risk in Interconnected Power Markets: An Australian Empirical Analysis

Autor:	Handika, R., Sigit Triandaru
Rok vydání:	2016
Předmět:	lcsh:HB71-74 power markets value-at-risk volatility Power markets Volatility Value-at-Risk Back-testing lcsh:Economics as a science back-testing lcsh:Business lcsh:HF5001-6182
Zdroj:	Volume: 6, Issue: 6 6-9 International Journal of Economics and Financial Issues Scopus-Elsevier International Journal of Economics and Financial Issues, Vol 6, Iss 6, Pp 6-9 (2016)
ISSN:	2146-4138
Popis:	This paper investigates Value-at-Risk (VaR) in the Australian interconnected power markets. We model the price change using seven different volatility models and perform the back testing from both investors’ (sellers’ side) and retailers’ (buyers’ side) perspectives. From investors’ perspective, we find that GARCH (1,1) model outperforms moving average (MA) and EWMA models. On the other hand, the moving average (MA) outperforms various GARCH (1,1) models from retailers’ perspective. Our findings lead to a new insight to analyze carefully the position of modelling risk in power market since different position generates different result.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::870bb35390c1cb77796c9ea43d2a93e0 https://dergipark.org.tr/tr/pub/ijefi/issue/31991/352786 Zobrazit plný text záznamu