Original title: Vliv obnovitelných zdrojů energie na cenovou volatilitu na evropských trzích s elektřinou
Translated title: The impact of renewable resources on price volatility in the European power markets
Authors: Líšková, Katarína ; Krištoufek, Ladislav (advisor) ; Luňáčková, Petra (referee)
Document type: Bachelor's theses
Year: 2017
Language: eng
Abstract: [eng] [cze]
Integration of renewable energy sources impacts electricity spot price and its variation. Remaining open question is, in which direction. Volatility fluctuations threaten secur- ity of electricity supply, influence trading strategies and create uncertainty in optimal installed capacity planning. In this thesis, drivers of price volatility in Czech and Ger- man day-ahead power market are analysed with an emphasis on penetration of renewable energy sources. To the best of our knowledge, this is the first study focused on this issue in Czech electricity market. We apply recently developed approach of quadratic variation theory with an adjustment for electricity prices. Realised volatility is divided into its continuous and jump component. The continuous part is modelled by three het- erogeneous autoregressive models, differing in complexity and inclusion of market-specific fundamental variables. Amendments to each model for the particular market are proposed and the models are evaluated both in-sample and out-of-sample. Addition of exogenous variables − commodity prices, weather conditions and seasonal variables − to simpler heterogeneous autoregressive model is found to improve volatility forecast accuracy. The results suggest higher continuous volatility due to increased penetration of power from wind... Integrácia obnovitel'ných zdrojov energie ovplyvňuje spotovú cenu elektriny a jej odchýl'ku. Otvorenou otázkou zostáva, akým smerom. Fluktuácie volatility ohrozujú stabilitu dodávky elektriny, ovplyvňujú obchodné stratégie a vytvárajú neistotu v plánovaní optimálneho inštalovaného výkonu. V tejto práci sú skúmané faktory ovplyvňujúce cenovú volatilitu na českom a nemeckom dennom trhu elektriny, s dôrazom na penetráciu obnovitel'ných zdro- jov energie. Pokial' je nám známe, ide o prvú štúdiu zameranú na túto problematiku na českom trhu s elektrinou. Je aplikovaná nedávno zavedená metóda kvadratickej variácie s úpravou pre ceny elektriny. Realizovaná volatilita je rozdelená na spojitý a skokový komponent. Spojitá čast' je modelovaná pomocou trojice heterogénnych autoregresívnych modelov, ktoré sa líšia zložitost'ou a zahrnutím fundamentálnych trhových špecifík. Je navrhnutá úprava každého modelu pre špecifický trh a modely sú porovnané "in-sample" aj "out-of-sample". Pridanie exogénnych premenných − ceny komodít, poveternostné podmienky a sezónne premenné − do jednoduchšieho heterogénneho autoregresívneho modelu zlepšuje presnost' predpovede volatility. Výsledky naznačujú vyššiu spojitú volat- ilitu na nemeckom...
Keywords: continuous volatility; electricity spot market; heterogeneous autoregressive model; price volatility; quadratic variation; renewable energy sources; cenová volatilita; heterogénny autoregresívny model; kvadratická variácia; obnovite\v{l}né zdroje energie; spojitá volatilita; spotová cena elektriny

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/91474

Permalink: http://www.nusl.cz/ntk/nusl-368221


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Bachelor's theses