The paper presents analysis of the seasonality of Italian daily electricity prices. Since the correct detection of the nature, stochastic or probabilistic, of the seasonality is crucial in ARIMA modeling, a test that allows such detection is presented. The application of this test to the Italian daily prices in the years 2008-11has pointed to the presence of deterministic seasonality in the short run. Nevertheless, seasonality has decreased in the last two years as consequence of a more balanced consumption of electricity over the week.
Deterministic or stochastic seasonality in daily electricity prices?
CHIRICO, PAOLO
2012-01-01
Abstract
The paper presents analysis of the seasonality of Italian daily electricity prices. Since the correct detection of the nature, stochastic or probabilistic, of the seasonality is crucial in ARIMA modeling, a test that allows such detection is presented. The application of this test to the Italian daily prices in the years 2008-11has pointed to the presence of deterministic seasonality in the short run. Nevertheless, seasonality has decreased in the last two years as consequence of a more balanced consumption of electricity over the week.
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