Šiame darbe atliekami elektros energijos kainų analizė ir modeliavimas. Elektros kainų kitimui ir tokioms jų charakteringoms savybėms, kaip sezoniškumas, vidurkio reversija, darbo dienų, savaitgalio ir švenčių efektas, kintamumo klasterizacija, aprašyti taikomi SARIMA-TGARCH ir SARFIMA-TGARCH modeliai. Tyrimui naudojami kasvalandiniai Prancūzijos elektros energijos biržos kainų stebėjimai. Darbą sudaro dvi dalys – bendroji (teorinė) ir tiriamoji dalys. Pirmoje dalyje apžvelgiama literatūra bei aptariami teoriniai modelių aspektai: aprašomi ilgos atminties modeliai. Antroje dalyje pristatomi modelių empiriniai rezultatai: SARIMA-TGARCH ir SARFIMA-TGARCH modelių taikymas ir adekvatumo tikrinimas. / In this paper an econometric modelling and forecasting of electricity spot prices is presented. The aim of this work is to examine SARIMA-TGARCH and SARFIMA-TGARCH models for describing volatility of electricity spot prices and their characteristics such as season, mean reversion, volatility cauterization, and effects of workdays, weekends or holidays. The data of France electricity stock prices are used for analysis. This paper contains two parts – theoretical and empirical. In the first part the short review of literature is presented. Moreover, the theoretical aspects of long memory models are discussed. In the following part the empirical results are presented: application and adequacy examination of SARIMA-TGARCH and SARFIMA-TGARCH models.

The first part of the thesis concerns describing the main topics concerned when mentioning electroenergetics: peculiarities of electricity and specifics of this commodity as well as liberalization that took place within this sector and new patterns arisen from these changes mainly in terms of business not only in wholesale, but also with effects on retail. It also outlines the economic rationale behind these changes. The second part of the thesis is an empirical analysis of real wholesale market data, demonstrating results of correlation, convergence and cointegration in spot prices of wholesale electricity in particular European countries.

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During the last two years, the electricity prices in Sweden have risen due to unstable weather conditions, recovery from the COVID-19 pandemic and limited access to electricity. This has led to people finding alternative ways of heating up their residences, e.g., fireplace. The Swedish Medical Products Agency found an increase in carbon monoxide poisoning related to residential heating during 2022, which gave the topic a boost in the news and media. The aim for the study was to investigate the knowledge about carbon monoxide poisoning among Swedish house owners, and to see if there was a correlation between electricity prices and number of cases carbon monoxide poisoning in Sweden during the period 2008-2021. A paper- and web survey was conducted and sent out to 480 Swedish houseowners, selected by Postnord. Electricity prices and cases of carbon monoxide poisoning was received from the internet via Statistics Sweden and the Swedish National Board of Health and Welfare. Regarding the questions covered in this study, house owners' knowledge varied. Recognition of the symptoms and prevalence of carbon monoxide poisoning was known by most of the respondents, whilst course of action in case of intoxication was not as well known. A weak positive correlation was shown between electricity prices and number of cases carbon monoxide poisoning. The increase in electricity prices and the number of cases carbon monoxide poisoning during the 2020s, would make it interesting to do further investigation.

In this study we analyse the relationship between renewable energy, electricity prices, and the stock market. The impact from electricity prices on stock markets have previously been thoroughly analysed. However, our study evaluates if a country’s share of renewable energy in their electricity production impacts the strength and size of the relationship in question. We use data from eight countries of rather equal economical sizes but that uses very opposed energy sources. Sweden, Norway, Finland, and Latvia represent countries with high amounts of renewable energy. While Belgium, Netherlands, Poland, and Hungary constitute countries with low shares of renewable energy. By using daily data between January 2016 and December 2021, we aim to understand the relationship of electricity prices and stock market indices and the role of renewable energy in this relationship. We do this by using Johansen’s cointegration test as well as analysing the correlation between volatilities through a DCC-GARCH(1,1). We find that both tests indicate a negative correlation between the electricity and stock markets as well as for their volatilities. In addition, we find some disparities between countries depending on their share of renewable energy. The impact of electricity prices on the stock market tends to be more pronounced for countries that use larger shares of renewable energy. Finally, findings suggest that the energy source used for electricity production also constitute an important factor in the connectivity of the markets. Wind power was found to be the main cause to the larger fluctuations on the electricity market leading to stronger relationship to the stock market. While hydro power is the more stable option of renewable energy with smaller variances and large storage capacity, weakening the link between the electricity market and stock market.

The Swedish energy system is changing and two major events that are taking place are the phase out of nuclear power and the increase of wind power. The associated changes affect the electricity market and the electricity producers, including combined heat and power plants. This thesis evaluates the Swedish energy system of 2025 with focus on electricity spot prices. It also investigates how a combined heat and power plant might perform in the future, given certain changes in the electricity price. Six different scenarios are developed where the electricity price is modified according to findings with regards to the influence of wind- and nuclear power. A model of a combined heat and power plant and a district heating network is created in BoFiT. The scenarios are applied to the model and results are analyzed in terms of heat production, choice of operational mode, merit order and economical performance. Major findings show a more volatile electricity price in 2025. Low price hours (<100SEK/MWh) occur throughout the year, while high price hours (>640SEK/MWh) take place mostly during winter - the season during which the heat demand is at its peak. Results show that the developed electricity prices require much more regulation from the modelled power plant and that the power plant is more adapted to handling high price hours than low price hours. The district heating network is also affected by the volatile electricity prices, and more frequent and greater variations are observed in the merit order. This suggests that in the future, the electricity prices will need to be followed more actively, and that a strategy will need to be developed, allowing for quick adaptation to the prices - communication and cooperation between the different actors in the network will be needed. / Sveriges energisystem är i förändring där avvecklingen av kärnkraft och ökad implementering av vindkraft är i fokus. Konsekvenserna av dessa förändringar kommer påverka elmarknaden och därmed elproducenterna, bland dem kraftvärmeverk. Detta examensarbete utvärderar energisystemet i Sverige 2025 med fokus på elmarknaden. Arbetet undersöker också hur ett kraftvärmeverk kan prestera i framtiden baserat på förändringar i elpriset. Sex olika scenarios har utvecklats där elpriset har modifierats baserat på analysen av vind- och kärnkraftsutvecklingen i Sverige och dess påverkan på elpriset. Ytterligare skapas en modell av ett kraftvärmeverk och ett fjärrvärmenät i BoFiT. Scenarierna implementeras i modellen och resultat extraheras och analyseras baserat på värmeproduktion, val av driftläge, körordning i systemet samt ekonomisk prestanda. Resultaten visar främst att volatiliteten i elpriset ökar till 2025. Låga elpristimmar (<100SEK/MWh) visar sig inträffa under hela året medan höga elpristimmar(>640 SEK/MWh) dominerar under vintern - säsongen där efterfrågan på värme är som högst. Resultaten visar att det förväntade elpriset kräver högre reglering av det modellerade kraftvärmeverket och att anläggningen idag är anpassad för att hantera framförallt höga elpriser men inte låga elpriser. Även fjärrvärmenätet i sig påverkas av volatilitet i elpriserna och mer frekventa och större variationer observeras i körordningen. Detta antyder att elpriserna i framtiden måste följas mer aktivt och att en strategi, som möjliggör snabb reglering för anpassning av elpriserna, måste utvecklas. Kommunikation och samarbete mellan parterna i fjärrvärmesystemet kommer därmed vara av hög betydelse.

Thesis advisor: Richard Sweeney / The main Investor-Owned Utilities in California charge electricity prices that are way above the social marginal cost of consuming electricity. This results in economic inefficiency which previous studies prove to have negative implications for inequality and to slow down the electrification of the transportation sector. This paper seeks to build on the existing knowledge by investigating how the high electricity prices affect low and high income house-holds’ electric vehicle adoption differently in California, and it aims to quantify the extent of such difference. The results show that EV adoption among low income households would be considerably higher under efficient retail pricing, and that low income households are more negatively affected than their high income counterparts. However, the results relative to high income households specifically are inconclusive, and therefore the extent to which the two income groups are affected differently cannot be determined. Further research should tackle this issue by including additional variables such as income by year and EV quality, as well as more granular gasoline price data. / Thesis (BA) — Boston College, 2023. / Submitted to: Boston College. College of Arts and Sciences. / Discipline: Departmental Honors. / Discipline: Economics.

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Energy markets feature a wide range of unusual price behaviour along with a complicated dependence structure between electricity, natural gas, coal and carbon, as well as other variables. We approach this broad modelling challenge by firstly developing a structural framework to modelling spot electricity prices, through an analysis of the underlying supply and demand factors which drive power prices, and the relationship between them. We propose a stochastic model for fuel prices, power demand and generation capacity availability, as well as a parametric form for the bid stack function which maps these price drivers to the spot electricity price. Based on the intuition of cost-related bids from generators, the model describes mathematically how different fuel prices drive different portions of the bid stack (i.e., the merit order) and hence influence power prices at varying levels of demand. Using actual bid data, we find high correlations between the movements of bids and the corresponding fuel prices (coal and gas). We fit the model to the PJM and New England markets in the US, and assess the performance of the model, in terms of capturing key properties of simulated price trajectories, as well as comparing the model’s forward prices with observed data. We then discuss various mathematical techniques (explicit solutions, approximations, simulations and other numerical techniques) for calibrating to observed fuel and electricity forward curves, as well as for pricing of various single and multi-commodity options. The model reveals that natural gas prices are historically the primary driver of power prices over long horizons in both markets, with shorter term dynamics driven also by fluctuations in demand and reserve margin. However, the framework developed in this thesis is very flexible and able to adapt to different markets or changing conditions, as well as capturing automatically the possibility of changes in the merit order of fuels. In particular, it allows us to begin to understand price movements in the recently-formed carbon emissions markets, which add a new level of complexity to energy price modelling. Thus, the bid stack model can be viewed as more than just an original and elegant new approach to spot electricity prices, but also a convenient and intuitive tool for understanding risks and pricing contracts in the global energy markets, an important, rapidly-growing and fascinating area of research.

Hydropower is the most important domestic energy source of Turkey. Thus, wise planning and development of the unused hydropower potential of the country is vital. There are many hydroelectric power plants under planning stage in our country. Altiparmak HEPP is one of them. General Directorate of Electrical Power Resources Survey and Development Administration (EIE) and ANC Enerji conducted two separate feasibility studies for Altiparmak HEPP in 2001 and 2009, respectively. Traditionally, the energy income calculations for HEPPs are based on DSI or EIE Methods in Turkey. Both of these methods evaluate the firm and the secondary energy generations separately. Besides they use fixed prices for these two types of energies. However, hourly electricity prices are used for electricity trading in Turkey. A detailed economic analysis of Altiparmak HEPP is conducted in this study. The economic analysis included various factors, such as tailwater level change, varying operating levels for different seasons and precipitation and evaporation amounts which are not conventionally included in feasibility studies. Moreover, the energy income calculations are conducted with four different methods, the DSI Method, the EIE Method, the ANC Method and the Variable Price Method (VPM). The VPM is developed in this study and it allows utilization of hourly electricity prices in calculating energy income of the HEPP. To shed some light on how hourly electricity prices develop, this thesis includes a chapter on the electricity market which explains the details of electricity trading in our country after the Electricity Market Balancing and Settlement Regulation became active in 2009.