| 引用本文: | 熊尚飞,邹小燕.电力市场价格风险价值与波动预测研究综述[J].电力系统保护与控制,2014,42(2):146-153. |
| XIONG Shang-fei,ZOU Xiao-yan.Value at risk and price volatility forecasting in electricity market: a literature review[J].Power System Protection and Control,2014,42(2):146-153 |
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| 摘要: |
| 电力工业的市场化改革后,电价由供需双方共同决定,电价波动更加剧烈,给电力市场参与者带来了巨大风险，电力市场风险度量的重要性不言而喻。在风险管理技术中VaR作为风险的度量指标得到了广泛认同，对计算电力市场VaR的非参数法、参数法和半参数法分别进行了总结评述，其中重点分析了基于GARCH模型和基于“实现波动”参数法和基于极值理论的半参数法。半参数法结合了非参数法和参数法的优点提高了VaR的计算精度，阀值的确定仍需进一步研究。 |
| 关键词: 电力市场 VaR度量 GARCH模型 实现波动 极值理论 |
| DOI：10.7667/j.issn.1674-3415.2014.02.024 |
| 分类号: |
| 基金项目:国家自然科学基金项目（71201180）；教育部人文社会科学研究项目（10XJC790006）；重庆市科委自然科学基金计划项目（CSTC2010BB6091） |
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| Value at risk and price volatility forecasting in electricity market: a literature review |
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XIONG Shang-fei, ZOU Xiao-yan
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School of Economics and Management, Chongqing Normal University, Chongqing 401331, China
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| Abstract: |
| Price shows high volatility in the electricity market and the market participants face huge price risk, therefore, price risk measurement becomes more and more important in electricity market. In practice, value-at-risk (VaR), as a risk management technique, was widely used. This paper reviews the price risk measurement in electricity market based on VaR, which includes non-parametric, parametric and semi-parametric method. We put great emphasis on the analysis of parametric model based on GARCH and “Realized Volatility”, and semi-parametric model based on extreme value theory. Semi-parametric model combines the advantages of non-parametric and parameter method, improves the accuracy of the VaR calculation, while the determination of the threshold needs further study. |
| Key words: electricity market value-at-risk GARCH realized volatility extreme theory |
