In recent years, electricity markets throughout the world have undergone massive changes due to deregulations. Extreme price volatility has forced producers and wholesale consumers to hedge not only against volume risk but also against price movements. Consequently, statistical modeling and estimation of electricity prices are an important issue for the risk management of electricity markets. We consider a model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary independent increments process for the low-frequency dynamics, and model the large fluctuations by a non-Gaussian stable CARMA process. We suggest a first estimation procedure, where we fit the components of the model step by step. Then we look at a Bayesian approach to fit the model to data. Finally, we apply the procedures to base load and peak load data from the German electricity exchange EEX.

The seminar will be followed by wine and finger food in the staff room (RC-3082). All attendees are welcome!


Prof Gernot Müller

Research Area

Universität Augsburg


Thu, 13/08/2015 - 4:00pm


RC-M032, The Red Centre, UNSW