摘要
电价的分布特性是电力市场风险管理和电力金融产品定价的重要依据。在对电力市场现货电价的变动规律综合分析的基础上,使用时变方差、时变自由度和正弦函数来刻画电价序列的异方差、尖峰厚尾和多重周期,建立了一个基于t分布的多周期GARCH模型。对PJM电力市场历史数据的分析表明:系统负荷平方对电价均值具有显著的影响,电价序列具有周、半月、月、双月、季、半年等多重周期和波动集聚性,其方差和尖峰厚尾呈现出明显的时变特征。该模型待估参数少,计算速度快,定阶容易,具有一定的实用价值。
The distribution properties of electricity prices are the important information for the risk management of electricity markets and the pricing of electricity financial derivatives. With comprehensive consideration of the changing rules of the electricity spot price, a multicycle GARCH model with student-t distribution is proposed, in which the heteroscedasticity, kurtosis and multicycle of electricity price series are described by time-varying variance, time-varying degree of freedom and sine function. The numerical example based on the historical data of the PJM market shows that the system load squares have a significant effect on the mean electricity price, the electricity price series have volatility clustering and weekly, semi-monthly, monthly, bimonthly, quarterly and semi-annual periods, and the variance and the degree of freedom of student-t distribution manifest the clear time-varying characteristics. The model holds parsimonious scale of estimated parameters, less computational cost, easy selection of the order and high practical application value.
出处
《电力系统保护与控制》
EI
CSCD
北大核心
2011年第23期49-53,59,共6页
Power System Protection and Control
基金
河南省教育厅自然科学研究计划项目(2010B120002)
关键词
学生t分布
时变方差
时变自由度
波动集聚
GARCH模型
student-t distribution
time-varying variance
time-varying degree of freedom
volatility clustering
GARCH model
