한국 전력도매시장(CBP) 계통한계가격(SMP) 변동성 실증분석
An Empirical Analysis of the System Marginal Price Volatility in the Korean Electricity Wholesale Market
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초록
이 논문에서 우리는 시장가격 평가모형을 도입하여 한국 전력도매시장 계통한계가격의 변동성(Volatility)의 현재 수준을 평가하였다. SMP의 분포는 변동성집중(Volatility clustering)과 두꺼운 꼬리(Fat-tail)의 특성을 보였다. 우리는 SMP 시계열의 자기상관에 장기적으로 장기기억(Long memory) 효과가 존재한다는 사실을 확인하였다. 이러한 효과를 모형에 반영하기 위해 분수차분 차수를 추정하여 차분함으로서 안정적 시계열로 변환하였다. 총 6가지 모형 중 분포모형을 선택하여 분석한 결과 SMP 변동성은 시장의 움직임에 민감하게 반응하지 않으면서 매우 지속적이라는 사실을 확인하였다. 이모형으로 추정한 분석기간 동안의 연율 표시 실현 변동성 평균은 약 312%이고 연율 표시 역사적 변동성 평균은 약 297%였다. 우리는 전력 현물가격의 변동성을 분석하는 하나의 대안으로 시간가변 변동성 모형을 제안한다.
Abstract
In this paper, we were introduced to Mark-to-market valuation model and that evaluated level of volatility for system marginal price in the Korean Electricity wholesale market. The SMP time series has a volatility clustering and a fat tail of its distribution. The estimates of fractional difference () confirmed that it is stationary in the mean level and has long-memory in the long-run. Therefore, the student t-distribution model was specified for SMP volatility. We found out that the SMP volatility was not sensitive () to the market variation but it was very persistence (). As a result, the annualized average volatility (Realized volatility) estimate was about 312%. And the annualized average historical volatility estimate was about 297%. We propose a time-varying volatility models as an alternative to analyze the volatility of electricity spot prices.
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