Estimating high quantiles for electricity prices by stable linear models

Christine Bernhardt, Claudia Klüppelberg, Thilo Meyer-Brandis
2008 Journal of Energy Markets  
We estimate conditional and unconditional high quantiles for electricity spot prices based on a linear model with stable innovations. This approach captures the impressive peaks in such data and, as a four-parametric family captures also the assymmetry in the innovations. Moreover, it allows for explicit formulas of quantiles, which can then be calculated recursively from day to day. We also prove that conditional quantiles of step h ∈ N converge for h → ∞ to the corresponding unconditional
more » ... g unconditional quantiles. The paper is motivated by the daily spot prices from the Singapore New Electricity Market, which serves an example to show our method at work.
doi:10.21314/jem.2008.002 fatcat:i3uleycednc3tisfuqur5mbi5m