A GARCH Model to Understand the Volatility of the Electricity Spot Price in Brazil


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Authors

  • André Luis da Silva Leite Federal University of Santa Catarina, Brazil.
  • Marcus Vinicius Andrade de Lima Federal University of Santa Catarina, Brazil.

DOI:

https://doi.org/10.32479/ijeep.14226

Keywords:

Volatility, GARCH Model, Spot Price, Brazilian Electricity Market

Abstract

Electricity is sensitive to extreme price events and spot price volatility is an inherent characteristic of competitive electricity markets. The purpose of this article it to model the realized volatility of electricity spot price in Brazil. The Brazilian electricity industry presents unique characteristics and because of this price varies a lot in a short period. So, we developed a GARCH model using 862 weekly observations  to understand the realized volatility in the four different market. We conclude that the spot price in Brazil presents high volatility that presents risk to agents. This high volatility is associated with institutional factors and the increase in the share of renewable energy in the electricity mix.

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Author Biographies

André Luis da Silva Leite, Federal University of Santa Catarina, Brazil.

Professor at the  Business Department of the Federal University of Santa Catarina (UFSC)

Marcus Vinicius Andrade de Lima, Federal University of Santa Catarina, Brazil.

Professor at the  Business Department of the Federal University of Santa Catarina (UFSC)

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Published

2023-09-16

How to Cite

da Silva Leite, A. L., & Andrade de Lima, M. V. (2023). A GARCH Model to Understand the Volatility of the Electricity Spot Price in Brazil. International Journal of Energy Economics and Policy, 13(5), 332–338. https://doi.org/10.32479/ijeep.14226

Issue

Vol. 13 No. 5 (2023)

Section

Articles

License

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