On the Leverage Effect in the Spanish Electricity Spot Market

摘要

This article focuses on the study of the leverage effect in the deregulated Spanish wholesale electricity market. For this purpose, we propose a stochastic volatility alternative, a threshold asymmetric autoregressive stochastic volatility (TA-ARSV) model over the well known AGARCH and EGARCH models. The results clearly favour the TA-ARSVA specification over the GARCH based models and reject the existence of the perverse inverse leverage effect.