海南师范大学学报：自然科学版2012，Vol.25Issue(1)：36-40,5.
基于GARCH模型的电力市场价格风险测度研究
Research on Price Risk of Electricity Market Based on GARCH Model
摘要
Abstract
： How to effectively evaluate price of volatility risk is the basis of risk management in electricity market. With comprehensive analysis of the basic features and influencing factors of electricity prices, a GARCH model of computing value-at-risk （VaR） is proposed, in which the seasonalities, heteroscedasticities, kurtosises and heavy-tails, volatili- ty-clustering and its relationship with system loads are jointly considered. The impacts of probability distribution as- sumption for four innovation＇ s distributions, normal, student-t, skewed student-t and general error distribution （GED）, on VaR estimation are analyzed. The numerical example based on the historical data of the PJM market shows that the model with GED distribution performs better in predicting one-period-ahead VaR under lower confidence level, while the one with student-t distribution performs better under higher confidence level. Moreover, when taking the innovation＇ s skewness into account, the estimated accuracy can be improved to some extent. These results present several potential implications for electricity markets risk quantifications and hedging strategies.关键词
风险价值/GARCH模型/概率分布设定/电力市场Key words
value-at-risk/GARCH model/probability distribution assumption/electricity market分类
信息技术与安全科学引用本文复制引用
王瑞庆,王弗雄,过晓娇..基于GARCH模型的电力市场价格风险测度研究[J].海南师范大学学报：自然科学版,2012,25(1):36-40,5.基金项目
海南省高等院校科研基金项目 （）
