电力系统保护与控制2011，Vol.39Issue(23)：49-53,59,6.
基于t分布GARCH模型的电价波动时变性研究
Investigation on time-varying volatility of electricity price based on GARCH model with student-t distribution
摘要
Abstract
The distribution properties of electricity prices are the important information for the risk management of electricity markets and the pricing of electricity financial derivatives. With comprehensive consideration of the changing rules of the electricity spot price, a multicycle GARCH model with student-t distribution is proposed, in which the heteroscedasticity. Kurtosis and multicycle of electricity price series are described by time-varying variance, time-varying degree of freedom and sine function. The numerical example based on the historical data of the PJM market shows that the system load squares have a significant effect on the mean electricity pricef the electricity price series have volatility clustering and weekly, semi-monthly, monthly, bimonthly, quarterly and semi-annual periods, and the variance and the degree of freedom of student-t distribution.manifest the clear time-varying characteristics. The model holds parsimonious scale of estimated parameters, less computational cost, easy selection of the order and high practical application value.关键词
学生t分布/时变方差/时变自由度/波动集聚/GARCH模型Key words
student-t distribution/time-varying variance/time-varying degree of freedom/volatility clustering/GARCH model分类
信息技术与安全科学引用本文复制引用
王瑞庆,王宏福..基于t分布GARCH模型的电价波动时变性研究[J].电力系统保护与控制,2011,39(23):49-53,59,6.基金项目
河南省教育厅自然科学研究计划项目(2010B120002) （2010B120002）
