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Taking PJM day-ahead electricity market for example, a comparative research on evaluation of value at risk (VaR) of market by autoregressive conditional heteroskedasticity (ARCH) family model based on distributional assumption conditions is performed. Firstly, by use the analysis of ARCH family model the conditional variance series from marginal price return series is obtained; then by using computing formula of VaR, the VaR series under different distributional conditions is obtained; finally, the risk evaluation results under different distributional conditions are compared. Analysis results show that it is better to build VaR models based on different distributional assumption conditions at different times in a day. |