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Ghosh, S. and Kanjilal, K. (2014) Modelling and Forecasting of Day-Ahead Electricity Price in Indian Energy Exchange—Evidence from MSARIMA-EGARCH Model. International Journal of Indian Culture and Business Management, 8, 413-423.
https://doi.org/10.1504/IJICBM.2014.060367

has been cited by the following article:

• 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.