摘要
风险度量因子的选取是风险度量的核心工作之一,统计性质好的指标通常能降低建模复杂度,提高精度。根据电价序列的特征及电价风险度量模型的特点,提出以电价波动率替代电价作为风险度量因子,避开电价序列的非平稳性,建立GARCH-VaR模型用于现货电价风险度量,以北欧电力市场的电价风险度量为例,对模型的可行性和有效性进行检验,并将所提出的电价风险度量方法与电价波动率正态分布法、电价ARMA-GARCH模型度量的电价风险进行比较。结果表明,所提方法不仅能有效降低电价风险度量的模型复杂度,还可提高风险度量的准确性。
The selection of risk measurement factors is one of the core works for risk measurement.Good statistical properties of indicators can often reduce the modeling complexity and improve the accuracy.In order to avoid the nonstationarity of electricity price series,according to the characteristics of electricity price sequence and the risk measurement model of electricity price,this paper proposed the substitution of electricity price volatility for electricity price as a risk measurement factor.And then the GARCH-VaR model was established for the risk measurement of spot electricity price.To test the feasibility and effectiveness of the model,the proposed method was used for the risk measurement of the spot electricity price in NordPool power market.Furthermore,by comparison the electricity price risk measurement method proposed in this paper with the normal distribution method of electricity price volatility and the ARMA-GARCH model of electricity price,it demonstrates that the proposed method can not only reduce the complexity of electricity price risk measurement model effectively,but also improve the accuracy of risk measurement.
出处
《水电能源科学》
北大核心
2015年第10期195-198,共4页
Water Resources and Power
基金
国家重点基础研究发展计划(973计划)(2013CB036406-4)
国家自然科学基金重点项目(50539140)
国家自然科学基金项目(50679098)
关键词
电价波动率
风险度量
准确性
复杂度
电力市场
electricity price volatility
risk measurement
accuracy
complexity
power market
