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Does Indian Spot Electricity Price Series Exhibit Inverse-Leverage Effect?
Department of Finance, IBS Hyderabad, IFHE University (a Deemed To-Be-University under Section 3 of UGC Act 1956), Telangana State, India
IBS Hyderabad, IFHE University (a Deemed To-Be-University under Section 3 of UGC Act 1956), Telangana State, India
- 1 Department of Finance, IBS Hyderabad, IFHE University (a Deemed To-Be-University under Section 3 of UGC Act 1956), Telangana State, India
- 2 IBS Hyderabad, IFHE University (a Deemed To-Be-University under Section 3 of UGC Act 1956), Telangana State, India
Theoretical Economics Letters·Volume 08 (2018)·Pages 234–240·Published 7 February 2018·DOI10.4236/tel.2018.83017
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Abstract
In this study , we investigate whether Indian Spot Electricity Price Series exhibit Inverse-Leverage effect by modeling Indian spot electricity price using ARIMA-EGARCH model using data given by Indian Energy Exchange from January 1 st 2014 to 31 st December 2015 accounting for 730 days and 17,520 hourly spot prices for all the five regions of Indian electricity market. Conditional mean and conditional variance equations are estimated. The results of the study provide crucial insights for power market participants/open access consumers whose numbers ha ve surpassed 3530 in Indian Energy Exchange to strategically plan their exposure in Indian spot electricity market.
KeywordsSpot ElectricityIndian Energy ExchangeInverse-Leverage EffectARIMA-EGARCH Model
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