摘要：In this study , we investigate whether Indian Spot Electricity Price Series exhibit Inverse-Leverage effect by modeling Indian spot electricity price using ARIMA-EGARCH model using data given by Indian Energy Exchange from January 1 st 2014 to 31 st December 2015 accounting for 730 days and 17,520 hourly spot prices for all the five regions of Indian electricity market. Conditional mean and conditional variance equations are estimated. The results of the study provide crucial insights for power market participants/open access consumers whose numbers ha ve surpassed 3530 in Indian Energy Exchange to strategically plan their exposure in Indian spot electricity market.
关键词：Spot Electricity;Indian Energy Exchange;Inverse-Leverage Effect;ARIMA-EGARCH Model
