电力市场价格风险价值与波动预测研究综述 - 电力系统保护与控制.pdfVIP

第42 卷 第2 期 电力系统保护与控制 Vol.42 No.2 2014 年 1月16 日 Power System Protection and Control Jan.16, 2014 电力市场价格风险价值与波动预测研究综述 熊尚飞，邹小燕 （重庆师范大学经济与管理学院，重庆 401331 ） 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 Value at risk and price volatility forecasting in electricity market: a literature review XIONG Shang-fei, ZOU Xiao-yan (School of Economics and Management, Chongqing Normal University, Chongqing 401331, China) 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. This work is supported by National Natural Science Foundation of China (No.. Key words: electricity marke