The impact of wind generation on the mean and volatility of electricity prices in Portugal

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)

Abstract

This paper analyzes the impact of wind power generation on the mean and variance of electricity wholesale spot prices in Portugal. The Portuguese market is a natural setting to measure the effect of intermittent renewable generation on electricity prices, as the share of wind in total load demand is one of the largest in the world. Using daily data from 2007 to 2014, we estimate an ARX-EGARCHX model where wind generation and total load demand enter as exogenous explanatory variables for the electricity price. The results show that wind generation reduces the average price level, while it increases the price volatility. Both the mean and volatility effects are substantially stronger for day-time peak prices than for night-time base-load prices.

Original languageEnglish
Title of host publication2015 12th International Conference on the European Energy Market, EEM 2015
PublisherIEEE Computer Society
Volume2015-August
ISBN (Electronic)9781467366915
DOIs
Publication statusPublished - 20 Aug 2015
Event12th International Conference on the European Energy Market, EEM 2015 - Lisbon, Portugal
Duration: 19 May 201522 May 2015

Conference

Conference12th International Conference on the European Energy Market, EEM 2015
CountryPortugal
CityLisbon
Period19/05/1522/05/15

Keywords

  • EGARCH
  • Electricity price
  • Intermittent wind power

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    Pereira, J. P., & Rodrigues, P. M. M. (2015). The impact of wind generation on the mean and volatility of electricity prices in Portugal. In 2015 12th International Conference on the European Energy Market, EEM 2015 (Vol. 2015-August). [7216714] IEEE Computer Society. https://doi.org/10.1109/EEM.2015.7216714