Is Indian spot electricity price series stationary?

Vijayalakshmi, S., Girish, G.P., Singhania, Keshav, and Emodi, Nnaemeka Vincent (2017) Is Indian spot electricity price series stationary? Energy Procedia, 138. pp. 1067-1072.

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Day-ahead spot electricity market of Indian energy exchange operates all 24 hours, 365 days a year. Many studies in literature have explored modeling spot electricity prices particularly in the context of NordPool, CalPx and PJM markets but very few studies in literature have explored modeling spot electricity prices in Indian context. Is Indian Spot Electricity Price Series Stationary? Answering this fundamental question paves way for application of techniques inspired from time series econometric modeling and forecasting literature which makes an inherent assumption that the underlying price-series is stationary. In this study we empirically investigate whether Spot Electricity Price Series is Stationary by using 17,520 hourly spot prices for each of the five regions of Indian electricity market and applying Augmented Dickey-Fuller Test, Phillips Peron Test, Kwiatkowski-Phillips-Schmidt-Shin Test and Narayan and Popp Test allowing for structural breaks. The results of the study will help power market participants understand the nitty-gritty's and nuances associated with Indian spot electricity prices for effective application of time series econometric models.

Item ID: 54046
Item Type: Article (Research - C1)
ISSN: 1876-6102
Keywords: ADF, India, Narayan, Popp, spot electricity price, structural break, unit root
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© 2017 The Authors. Published by Elsevier Ltd under a Creative Commons License.

Presented at the International Conference on Alternative Energy in Developing Countries and Emerging Economies, 25‐26 May 2017, Bangkok, Thailand

Date Deposited: 13 Jun 2018 03:19
FoR Codes: 38 ECONOMICS > 3802 Econometrics > 380205 Time-series analysis @ 30%
38 ECONOMICS > 3803 Economic theory > 380304 Microeconomic theory @ 30%
40 ENGINEERING > 4004 Chemical engineering > 400499 Chemical engineering not elsewhere classified @ 40%
SEO Codes: 85 ENERGY > 8506 Energy Storage, Distribution and Supply > 850603 Energy Systems Analysis @ 50%
91 ECONOMIC FRAMEWORK > 9102 Microeconomics > 910211 Supply and Demand @ 50%
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