MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES
提出一种新的乘法动态条件相关模型，将电力期货的长期与短期波动成分分离，并引入外生变量解释交割日效应，发现长短期合约的相关性动态不同，预测表现优于标准模型。
SUMMARY We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional correlation (mDCC) model to separate long‐run from short‐run components. We allow for smooth changes in the unconditional volatilities and correlations through a multiplicative component that we estimate nonparametrically. For the short‐run dynamics, we use a GJR‐GARCH model for the conditional variances and augmented DCC models for the conditional correlations. We also introduce exogenous variables to account for congestion and delivery date effects in short‐term conditional variances. We find different correlation dynamics for long‐ and short‐term contracts and the new model achieves higher forecasting performance compared \to a standard DCC model. Copyright © 2012 John Wiley & Sons, Ltd.