2024
DOI: 10.3390/su16072691
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Quantifying the Impact of Risk on Market Volatility and Price: Evidence from the Wholesale Electricity Market in Portugal

Negin Entezari,
José Alberto Fuinhas

Abstract: This research aims to identify suitable procedures for determining the size of risks to predict the tendency of electricity prices to return to their historical average or mean over time. The goal is to quantify the sensitivity of electricity prices to different types of shocks to mitigate price volatility risks that affect Portugal’s energy market. Hourly data from the beginning of January 2016 to December 2021 were used for the analysis. The symmetric and asymmetric GARCH model volatility, as a function of p… Show more

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