期刊名称：International Journal of Economics and Financial Issues
电子版ISSN：2146-4138
出版年度：2016
卷号：6
期号：6S
页码：6-9
语种：English
出版社：EconJournals
摘要：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. Keywords : Power markets; Volatility; Value-at-Risk; Back-testing JEL Classifications: G17; G32; Q40
其他摘要：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. Keywords : Power markets; Volatility; Value-at-Risk; Back-testing JEL Classifications: G17; G32; Q40
