A1473
Title: A volatility spillover analysis with realized semi(co)variances in Australian electricity markets
Authors: Ainhoa Zarraga - University of the Basque Country (Spain) [presenting]
Aitor Ciarreta - University of the Basque Country (Spain)
Evelyn Lizeth Chanatasig - University of the Basque Country (Spain)
Abstract: Volatility spillovers are a characteristic of interconnected electricity markets. We use high-frequency prices to analyze the transmission of volatility across five Australian regional electricity markets. We decompose the realized covariance matrix based on the sign of the underlying returns and propose three models. The first includes only variances, the second adds covariances and the third includes semi(co)variances obtained from the decomposition of the realized covariance matrix. We carry out the analysis for both a static and a dynamic framework and relate the behavior of spillovers to major events and policies affecting the market. Results show a high level of integration across markets and highlight the importance of the role of semi(co)variances in detecting asymmetric spillovers.
