Abstract:In this study, we investigate whether Indian Spot Electricity Price Series exhibit Inverse-Leverage effect by modeling Indian spot electricity price using ARIMA-EGARCH model using data given by Indian Energy Exchange from January 1 st 2014 to 31 st December 2015 accounting for 730 days and 17,520 hourly spot prices for all the five regions of Indian electricity market. Conditional mean and conditional variance equations are estimated. The results of the study provide crucial insights for power market participa… Show more
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