Does Indian Spot Electricity Price Series Exhibit Inverse-Leverage Effect? - Theoretical Economics Letters

TEL > Vol.8 No.3, February 2018

Theoretical Economics Letters

Volume 8, Issue 3 (February 2018)

ISSN Print: 2162-2078 ISSN Online: 2162-2086

Google-based Impact Factor: 1.34 Citations

Does Indian Spot Electricity Price Series Exhibit Inverse-Leverage Effect? ()

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Download as PDF (Size: 222KB) PP. 234-240

DOI: 10.4236/tel.2018.83017 1,001 Downloads 1,868 Views Citations

Author(s)

G. P. Girish^1,2, S. Vijayalakshmi^1,2

Affiliation(s)

¹Department of Finance, IBS Hyderabad, IFHE University (a Deemed To-Be-University under Section 3 of UGC Act 1956), Telangana State, India.
²IBS Hyderabad, IFHE University (a Deemed To-Be-University under Section 3 of UGC Act 1956), Telangana State, India.

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 have surpassed 3530 in Indian Energy Exchange to strategically plan their exposure in Indian spot electricity market.

KEYWORDS

Spot Electricity, Indian Energy Exchange, Inverse-Leverage Effect, ARIMA-EGARCH Model

Share and Cite:

Girish, G. and Vijayalakshmi, S. (2018) Does Indian Spot Electricity Price Series Exhibit Inverse-Leverage Effect?. Theoretical Economics Letters, 8, 234-240. doi: 10.4236/tel.2018.83017.

Cited by

[1]	Weathering the Market: Analyzing the Impact of Climate Change on the Norwegian Electricity Market: A Price Volatility Time Series Analysis
	2023

[2]	Power Grid Energy Consumption
	International Journal of Innovative Science and Research Technology, 2022

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