Some stylized facts about high-frequency Nord Pool forward electricity prices

Abstract

This paper uses high-frequency data and the concept of realized volatility to analyze the stylized properties of two of the most liquid contracts at the central data source at Nord Pool. The paper examines a number of well-known features of traditional financial assets, their returns and volatilities, such as distribution properties, serial correlation, volatility clustering, the influence of extreme events and seasonality in the various measures. The main findings suggest that financial electricity prices exhibit many of the stylized properties found in traditional financial markets, such as high excess kurtosis for short sampling intervals, strong seasonality and long memory in the serial correlation. The results also provide new insights into how realized volatility and its different components behave with respect to financial electricity prices traded at Nord Pool.