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Download or read book Analysis of Electricity Price Dynamics at the European Energy Exchange Using a Quantile Regression Model written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, we investigate the day-ahead electricity prices at the EEX. First, we qualitatively investigate the influence of various variables, particularly wind and photovoltaic, on electricity spot prices. After an initial OLS regression, we fit the residuals to a GARCH(1,1) model. Subsequently, we consider the conditional variance as given and apply a quantile regression model to the data. We show that renewable energies, in particular wind power contribute significantly to the lower and higher quantiles. We also show that gas prices have a large impact in higher quantiles. However, while our model performs well in-sample, out-of-sample forecasting does not yield conclusive results. We investigate the reasons for this change and conclude that the price dynamics change at a fast rate with the rapid growth of both solar and wind energy.