Angelica Gianfreda

Volatility and Volume Effects in European Electricity Spot Markets

This paper analyses the volatility of wholesale electricity markets for five markets in Europe. Using GARCH models after filtering outliers, significant asymmetric effects and volatility persistence have been documented. Moreover, empirical evidence is provided on a significant relation between volume and volatility which can be both positive or negative depending on the specific market.

Volatility structures of the Italian electricity market: An analysis of leverage and volume effects

In this paper the volatility structure of electricity prices in the Italian zonal market is analyzed. Volatility should be a primary concern for investors and operators on energy markets because it is related to investment uncertainty and power plant management. Even if volatility of electricity prices received extensive attention in the past, the relationship with traded and demanded electricity volumes has not been explored. We try to fill this gap estimating the volatility-volume link within the framework of ARMA-GARCH models, using daily data on a five year period. Opposite to what usually argued about electricity prices, we found evidence of direct leverage effect in the Italian market. Furthermore our estimates highlight an inverse relation between price volatility and lagged volumes.

RES effects in Italian wholesale electricity market

We empirically analyze the relationship between wholesale electricity day-ahead and regulation prices in the presence of high share of RES generation. Our results only partly confirm those obtained by Skytte (1999) for the Oslo area. In the Italian case, regulating power prices follow spot prices and, in some cases, they are two or three times larger than the latter ones. We generally observe that the amount of regulation does not affect regulating power prices, even if they actually behave differently to up- and down-regulation. In addition, we find empirical evidence of very high premia for readiness with different behaviors according to Italian zones.

European Energy Regulation: A survey analysis across electricity segments

The Energy Community and the association of Mediterranean Energy Regulators (MedReg) share an important number of their respective members. The differences in their origins and structure, which will be outlined in the paper, are offset by the commonality of their goal, that is, to push forward the achievement of “a pan-European energy community”, as in [4]. This fact emphasizes the strategic importance of the regulatory framework in the context of developing the EU energy market. A particularly fertile topic in the European literature on regulatory authorities concerns the issue of regulatory independence, but little investigation has been undertaken to explore what regulators actually do and what are their practices across all electricity market segments, that is generation, distribution, transmission and retail. Therefore, the present paper aims at assessing the state-of-the-art of regulatory practice in the electricity sector in the EU and its neighborhood. This is done by analyzing the regulatory competencies and powers of 34 National Regulatory Authorities, representing a comprehensive sample of countries including both the majority of EU member states and several of its neighbors: members of either or both Energy Community and MedReg.

The European hubs for natural gas: An integration towards a single area?

Regulators hope that competitive forces will be enough to create efficiency, and hence we see their persistent policy concerns about market structure, resource adequacy and regional interconnection. Facilitating the latter, in particular, through greater network interconnection capacities, and the harmonization of trading at various local hubs is going to be actively pursued in many parts of Europe with the aim of improving both market efficiency and system reliability. This paper seeks to advance our understanding of the efficiency of European gas spot prices by looking at several regional markets. We pursue this through an analysis of spot prices collected on the following markets: NBP, TTF, Zeebrugge, PSV and Baumgarten. Hence, this paper is going to investigate empirical properties of European Natural gas spot prices, which drives electricity prices across Europe. Furthermore here we propose to understand the state of integration of these markets toward a single European area as suggested by the European Commission and followed by ENTSO-G. Therefore applying Grangers causality tests and Vector Error Correction Models, we test the hypothesis of both short and long run integration process and try to understand which is the nature of interactions among such prices across the European area.

A Stochastic Latent Moment Model for Electricity Price Formation

The wide range of models needed to support the various short-term operations for electricity generation demonstrates the importance of accurate specifications for the uncertainty in market prices. This is becoming increasingly challenging, since electricity hourly price densities exhibit a variety of shapes, with their characteristic features changing substantially within the day and over time, and the influx of renewable power, wind and solar in particular, has amplified these effects. A general-purpose, analytically tractable representation of the stochastic price formation process would have considerable value for operations control and trading, but existing empirical approaches for the application of standard density functions are unsatisfactory. We develop a general four parameter stochastic model for hourly prices, in which the four moments of the density function are dynamically estimated as latent state variables and furthermore modelled as functions of several plausible exogenous drivers. This provides a transparent and credible model that is suffciently flexible to capture the shape-shifting effects, particularly with respect to the wind and solar output variations causing dynamic switches in the upside and downside risks. Extensive testing on German wholesale price data, benchmarked against quantile regression and other models in out-of-sample backtesting, validated the approach and its analytical appeal.

Italian wholesale electricity market: RES effects across day-ahead and balancing markets

The relationship between wholesale electricity day-ahead and balancing prices is empirically investigated in Italy during years 2012-2014 characterized by high RES generation. We assess the situations of excess demand and excess supply with respect to the differences in quantities promised on the day-ahead market and actually delivered/demanded on real time; hence, we provide empirical evidence on Italian regulation power and corresponding prices. Our results partly confirm those obtained by Skytte (1999). We observe that regulating power prices are not influenced by the amount of regulation in both scenarios; even if they actually behave differently to up- and down-regulation. In addition, we quantify the premia of readiness according to specific selected hours and across Italian zones.

Fukushima effect on commodity prices

This paper analyzes the effect of the earthquake occurred in March 2011 in Japan on nuclear power generation. More specifically as natural consequence, the hypothesis of moving towards generating sources different from nuclear are explored. Given the CO2 constraints and the discussion on biomass generation affecting the agricultural commodities prices, in a long-term perspective it is expected to observe a migration from thermal conventional electricity generation to renewable generation. Therefore, this study is provides some evidence on the effect of nuclear crisis caused by Fukushima on commodities prices of both energy and agricultural markets. We perform an event study analysis of abnormal returns considering short, medium and long run horizons.

Fractional Integration Models for Italian Electricity Zonal Prices

In the last few years we have observed an increasing interest in deregulated electricity markets. Only few papers, to the authors’ knowledge, have considered the Italian Electricity Spot market since it has been deregulated recently. This contribution is an investigation with emphasis on price dynamics accounting for technologies, market concentration, and congestions as well as extreme spiky behavior. We aim to understand how technologies, concentration, and congestions affect the zonal prices since all these combine to bring about the single national price (prezzo unico d’acquisto, PUN). Implementing Reg–ARFIMA–GARCH models, we draw policy indications based on the empirical evidence that technologies, concentration, and congestions do affect Italian electricity prices.

Volatility Models for Electricity Prices with Intra-Daily Information

In this work, we explore the impact that intra-daily information could have on explaining and forecasting the conditional volatility of daily electricity returns. Returns are computed on Italian spot prices. The basic model considers an autoregressive structure on the conditional mean, daily dummies for capturing weekly seasonality and lagged total daily volumes . The conditional variance equation is modelled with ARCH(1) and GARCH(1,1) models with intra-daily regressors given by total traded volumes and variance of hourly returns at time t-1. The inclusion of intra-daily information reduces the volatility persistence, hence inducing better volatility forecasts of standardized returns.