TITLE:
Does Indian Spot Electricity Price Series Exhibit Inverse-Leverage Effect?
AUTHORS:
G. P. Girish, S. Vijayalakshmi
KEYWORDS:
Spot Electricity, Indian Energy Exchange, Inverse-Leverage Effect, ARIMA-EGARCH Model
JOURNAL NAME:
Theoretical Economics Letters,
Vol.8 No.3,
February
9,
2018
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 1st 2014 to 31st 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.