This paper is focused on the electricity market and electricity prices. The electricity sector is one of the keystrategic sectors of every economy and knowledge of demand, supply and prices is very important. Because of thefeatures occurring in the time series of electricity prices (i.e. high frequency, non-constant mean, autocorrelation,non-normal distribution, heteroscedasticity, seasonality, etc.), it is necessary to employ more sophisticated modelsfor the purposes of their modeling. The goal of this paper is to propose the empirical model for modeling dailyelectricity prices in three selected regions (California, North Europe and Austria). To exploit non-linearity, weapply the SETAR (Self Exciting Threshold Auto-Regressive) models that imply and distinct regimes in time seriesdynamics with potentially different parameters (and thus dynamics properties) of each regime. First, the mostappropriate SETAR model for modeling electricity prices at selected markets is developed; next, statisticalverification of each model is performed in accordance with Hansen (1997, 2000); finally, it is verified whether theproposed non-linear models give satisfactory results in the sense of data fitting and diagnostic checks.
展开▼
