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.

Full Text

Published Version
Open DOI Link

Topics from this Paper

  • Price In Brazil
  • Volatility Of Spot Price
  • Spot Price
  • Share Of Renewable Energy
  • Volatility Of Price
    • + Show 5 more

Create a personalized feed of these topics

Get Started

Get access to 115M+ research papers

Discover from 40M+ Open access, 2M+ Pre-prints, 9.5M Topics and 32K+ Journals.

Sign Up Now! It's FREE

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Similar Papers

Is Futurization the Culprit for the Violent Fluctuation in China’s Apple Spot Price?
  • Agriculture
  • Apr 12, 2021
Relevant
Not Relevant
Theory of storage, inventory and volatility in the LME base metals
  • Resources Policy
  • Mar 1, 2013
Relevant
Not Relevant
Do the Forward Sales of Real Estate Stabilize Spot Prices?
  • The Journal of Real Estate Finance and Economics
  • Mar 29, 2006
Relevant
Not Relevant
Do the Forward Sales of Real Estate Stabilize Spot Prices?
  • SSRN Electronic Journal
  • Jan 1, 2006
Relevant
Not Relevant
The role of gold futures in mitigating the impact of economic uncertainty on spot prices: Evidence from China
  • Research in International Business and Finance
  • Apr 1, 2021
Relevant
Not Relevant
Impact of Rough Storage on Gas Price Volatility
  • SSRN Electronic Journal
  • Sep 28, 2018
Relevant
Not Relevant
Forecasting Spot and Future Gold Coin Price Volatility and Their Predictive Power on Each Other by Using ANN-GARCH Model
  • Mar 1, 2021
Relevant
Not Relevant
An Empirical Investigation of Volatility of Indian Spot and Future Prices of Crude Oil
  • Metamorphosis: A Journal of Management Research
  • Jul 1, 2013
Relevant
Not Relevant
Volatility Dynamics in Oil and Oilseeds Spot and Futures Market in India
  • Vikalpa: The Journal for Decision Makers
  • May 31, 2016
Relevant
Not Relevant
Do the Spot Prices Influence the Pricing of Future Contracts? An Empirical Study of Price Volatility of Future Contracts of Select Agricultural Commodities Traded on NCDEX (India)
  • SSRN Electronic Journal
  • Jan 1, 2009
Relevant
Not Relevant
Research on Real Futures Dynamic Hedging Based on S-GARCH Model
  • Oct 30, 2009
Relevant
Not Relevant
Futures markets and price stabilisation: An analysis of soybeans markets in North America
  • Australian Journal of Agricultural and Resource Economics
  • Jan 1, 2023
Relevant
Not Relevant
Do ethanol prices in Brazil follow Brent price and international gasoline price parity?
  • Renewable Energy
  • Jul 1, 2012
Relevant
Not Relevant
Information in Electricity Forward Prices
  • Journal of Financial and Quantitative Analysis
  • Oct 29, 2019
Relevant
Not Relevant
Over-the-Counter Forward Contracts and Spot Price Volatility
  • SSRN Electronic Journal
  • Jan 1, 2004
Relevant
Not Relevant
READ MORE FROM

International Journal of Energy Economics and Policy

Renewable Energy Mix Enhancement: The Power of Foreign Investment and Green Policies
Open Access
  • International Journal of Energy Economics and Policy
  • Nov 10, 2023
Relevant
Not Relevant
On the Asymmetry of the Nexus between Governance and Environmental Pollution
Open Access
  • International Journal of Energy Economics and Policy
  • Nov 10, 2023
Relevant
Not Relevant
Innovating for Sustainability: The Intersection of Technology and Environmental Quality in Indonesia
Open Access
  • International Journal of Energy Economics and Policy
  • Nov 10, 2023
Relevant
Not Relevant
Impacts of Environment-Related Technology, Structural Change, and Globalization on Greenhouse Gas Emissions: Evidence from Top Twenty Emitter Countries
Open Access
  • International Journal of Energy Economics and Policy
  • Nov 10, 2023
Relevant
Not Relevant
A Methodology to Analyze Significant Energy Uses and Energy Consumption for Improving Energy Performance in Higher Education Buildings
Open Access
  • International Journal of Energy Economics and Policy
  • Nov 10, 2023
Relevant
Not Relevant
Risk Aversion and Hydro-energy Reservoirs Management under Monopolistic and Oligopolistic Industrial Structures
Open Access
  • International Journal of Energy Economics and Policy
  • Nov 10, 2023
Relevant
Not Relevant
Exploring the Links between Renewable Energy, FDI, Environmental Degradation, and International Trade in Selected Developing Countries
Open Access
  • International Journal of Energy Economics and Policy
  • Nov 10, 2023
Relevant
Not Relevant
The Effect of World Oil Price on Türkiye’s Exchange Rate
Open Access
  • International Journal of Energy Economics and Policy
  • Nov 10, 2023
Relevant
Not Relevant
Capacity Payments in the Turkish Electricity Market: A Necessity or Policy?
Open Access
  • International Journal of Energy Economics and Policy
  • Nov 10, 2023
Relevant
Not Relevant
Analysis Forecasting of Gasoline Prices in Some ASEAN Countries by Using State Space Representation on Vector Autoregressive Model
Open Access
  • International Journal of Energy Economics and Policy
  • Nov 10, 2023
Relevant
Not Relevant