- 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 - Opis:
- 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.
- Źródło:
-
Econometrics. Ekonometria. Advances in Applied Data Analytics; 2013, 1(39); 111-120
1507-3866 - Pojawia się w:
- Econometrics. Ekonometria. Advances in Applied Data Analytics
- Dostawca treści:
- Biblioteka Nauki
Artykuł