Forecasting Volatility and Tail Risk in Electricity Markets
This paper investigates the benefits of jointly using several realized measures in predicting daily price volatility, Value-at-Risk, and Expected Shortfall in the Australian electricity markets of New South Wales, Queensland, and Victoria. We propose using Realized GARCH-type models with multiple me...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-06-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1911-8074/14/7/294 |