Forecast of prices and volatility on the day ahead market

Szczegóły
Opis

Tytuł:: Forecast of prices and volatility on the day ahead market
Autorzy:: Ganczarek-Gamrot, Alicja
Powiązania:: https://bibliotekanauki.pl/articles/425278.pdf
Data publikacji:: 2013
Wydawca:: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:: principal component analysis (PCA)
SARIMA model
DCC model
Value-at- -Risk
portfolio
Źródło:: Econometrics. Ekonometria. Advances in Applied Data Analytics; 2013, 1(39); 111-120
1507-3866
Język:: angielski
Prawa:: Wszystkie prawa zastrzeżone. Swoboda użytkownika ograniczona do ustawowego zakresu dozwolonego użytku
Dostawca treści:: Biblioteka Nauki
: Artykuł

Przejdź do źródła

The subject of this paper is the forecast of prices and volatility on the Day Ahead Market (DAM). The analysis was made for two portfolios of four contracts from 30.03.2009 to 28.10.2011 for two fixings on DAM. Four out of 24 contracts noted on DAM were chosen by PCA. Prices were forecast by the SARIMA models incorporating autocorrelation and seasonality. Value-at-Risk calculated through the DCC model was used to forecast volatility. These models describe well the prices and volatility on the DAM and may be used for forecasting purposes. Prices on fixing 2 are characterized by higher volatility than prices on fixing 1.

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