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Please use this identifier to cite or link to this item: http://arks.princeton.edu/ark:/88435/dsp01nk322g76w
Title: EXPLORING ELECTRICITY PRICE DYNAMICS: FITTING A MARKOVIAN REGIME-SWITCHING GARCH(1,1) MODEL
Authors: Gandotra, Raghav
Advisors: Cheridito, Patrick
Department: Operations Research and Financial Engineering
Class Year: 2016
Abstract: This thesis explores the dynamics of electricity price series and constructs a Marko- vian regime-switching model that can appropriately capture electricity price fluctuations. The research begins with fitting a volatility model to the data and recognizing its drawbacks, moving to an appropriate Markovian regime-switching model that can better account for the peculiar behaviour of electricity prices, in particular, their spikiness. The thesis concludes by using the Markovian regime- switching framework constructed to develop a heuristic for predicting spikes in electricity prices and discusses the applicability of this heuristic for using financial instruments to hedge against price spikes.
Extent: 85 pages
URI: http://arks.princeton.edu/ark:/88435/dsp01nk322g76w
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Operations Research and Financial Engineering, 2000-2016

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