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.
|Number of pages||4|
|Journal||International Journal of Economics and Financial Issues|
|Issue number||6Special Issue|
|Publication status||Published - 1 Jan 2016|
- Power markets