This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Abstract - #308453
Title: WITHDRAWN: Volatility Modeling of High-Frequency Electric Price Data
Author(s): Asitha Edirisinghe and V.A. Samaranayake
Keywords: Time Varying Variance ; GARCH ; jump-diffusion ; Price Processes ; Mean reversion

Electricity prices behave differently from other commodities, exhibiting very high time-dependent volatility, extreme price spikes, and intraday, day of the week, and seasonal cycles. Variations of the Generalized Autoregressive Heteroskedastic (GARCH) model have been proposed by some authors as a mechanism to account for the time-varying volatility found in electric price series. GARCH type processes, however, fail to accommodate situations where extremely large values occur very briefly with the series reverting to the mean within a very short period of time. They also yield series with constant unconditional variance. We propose a combined of GARCH/jump-diffusion formulation with non-constant unconditional variance as an alternative method of modeling volatility of electric price data. The proposed procedure is then applied to modeling price data from the PJM interconnection.

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