Retailer value-at-risk in interconnected power markets: An Australian empirical analysis

Rangga Handika, Sigit Triandaru

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

This paper investigates value-at-risk in the Australian interconnected power markets. We model the price change using seven different volatility models and perform the back testing from both investors’ (sellers’ side) and retailers’ (buyers’ side) perspectives. From investors’ perspective, we find that GARCH (1,1) model outperforms moving average (MA) and exponentially weighted MA models. On the other hand, the MA outperforms various GARCH (1,1) models from retailers’ perspective. Our findings lead to a new insight to analyze carefully the position of modeling risk in power market since different position generates different result.

Original languageEnglish
Pages (from-to)6-9
Number of pages4
JournalInternational Journal of Economics and Financial Issues
Volume6
Issue number6Special Issue
Publication statusPublished - 1 Jan 2016

Keywords

  • Back-testing
  • Power markets
  • Value-at-risk
  • Volatility

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