publication . Article . 2012

Modelling energy spot prices: Empirical evidence from NYMEX

Nikos Nomikos; Kostas Andriosopoulos;
Open Access English
  • Published: 01 Jan 2012
  • Country: United Kingdom
Abstract
This paper investigates the behaviour of spot prices in eight energy markets that trade futures contracts on NYMEX. We consider two types of models, a mean-reverting model, and a spike model with mean reversion that incorporates two different speeds of mean reversion; one for the fast mean-reverting behaviour of prices after a jump occurs, and another for the slower mean reversion rate of the diffusive part of the model. We also extend these models to incorporate time-varying volatility in their specification, modelled as a GARCH and an EGARCH process. We compare the relative goodness of fit of the different modelling variations both in sample, using Monte Carlo...
Subjects
free text keywords: HB, General Energy, Economics and Econometrics
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