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, 2000-2023 |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| GandotraRaghav_final_thesis.pdf | 3.1 MB | Adobe PDF | Request a copy |
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