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Rafal Weron
Title: Regime-switching models for electricity spot prices: An empirical comparison (Rafal Weron and Joanna Janczura)
Abstract
Keywords: regime switching, electricity spot price, base regime dynamics, spike distribution
The aim of this paper is to suggest parsimonious models for electricity spot price dynamics that can address the most pertinent characteristics, in particular, the heavy tailed price distributions and price spikes. To this end, we calibrate a range of 2- and 3-state Markov regime switching (MRS) models. The list includes specifications with heteroscedastic base regime dynamics and shifted spike regime distributions. Since wrong spike identification may lead to miscalculation of spike regime parameters and result in risk over- or underestimation, we test the goodness-of-fit of the models and check the assignment of prices to the regimes.
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