Arx-garch probabilistic price forecasts for diversification of trade in electricity markets—variance stabilizing transformation and financial risk-minimizing portfolio allocation

HIGHLIGHTS

• who: Joanna Janczura and Andrzej Puu0107 from the Hugo Steinhaus Center, Faculty of Pure and Applied Mathematics, Wrocu0142aw University of Science and Technology, Wrocu0142aw, Poland have published the Article: ARX-GARCH Probabilistic Price Forecasts for Diversification of Trade in Electricity Marketsu2014Variance Stabilizing Transformation and Financial Risk-Minimizing Portfolio Allocation, in the Journal: Energies 2023, 16, 807. of 31/Dec/2020
• what: The authors propose dynamic short-term financial risk management strategies for small electricity producers and buyers that trade in the wholesale electricity markets. The authors show that using heteroscedastic volatility significantly improves forecasts according . . .
  

   

  

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