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dian jia bo dong de er jie ju he san jie ju te xing yan jiu
Author(s): 
Pages: 1853-1857
Year: Issue:  11
Journal: East China Electric Power

Keyword:  Gram-Charlier expansionsecond momentthird momentGARCH-M model;
Abstract: 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 the comprehensive consideration of the changing rules of the electricity spot price,a multicycle GARCH-M model based on Gram-Charlier series expansion of the normal density function is proposed,in which the second moment,third moment and multicycle of electricity price series are described by time-varying variance,time-varying skewness and sine function.The changing trend,volatility of second and third moments,multicycle and the relationship among load and spot price can be fully taken into account.The numerical example based on the historical data of the PJM market shows that time-varying variance and the system load square have a significant effect on the mean electricity prices.
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