Ramazan EKİNCİ, Osman TÜZÜN, Fatih CEYLAN, Hakan KAHYAOĞLU

Türkiye Elektrik Fiyatlarındaki Ani Sıçramaların Markov Rejim Değişim Modelleriyle Analizi

Bu çalışmanın amacı, Türkiye elektrik piyasasında gerçekleşen sistem marjinalfiyatlarındaki (spot elektrik fiyatları) ani fiyat artış (spike) etkilerini analiz etmektir. Ele alınanzaman aralığında piyasa fiyatlarını temsil eden zaman serisinde söz konusu etkilerin varlığıMarkov-Değişim Genelleştirilmiş Kendisiyle Bağlaşımlı Koşullu Değişen Varyans (MS-GARCH)tekniği kullanılarak test edilmiştir. Söz konusu model düşük ve yüksek oynaklık dönemlerini temsileden iki farklı rejimle tanımlanmıştır.Elde edilen sonuçlara göre ani fiyat artışlarının (spike), ortalama fiyat düzeyinden sapmayaratan tesadüfi (stokastik) bir etkiye sahip olduğu sonucuna ulaşılmıştır. Bununla birlikte elektrikpiyasasında genellikle normal fiyat rejimleri geçerli olmakla birlikte, normal fiyat rejimlerinden anifiyat yükseliş rejimine geçiş olasılığının yüksek olduğu da görülmektedir. Ayrıca elektrik fiyatlarıyüksek bir oynaklıkla birlikte güçlü bir rejim bağımlılığı da göstermektedir.

Modelling the Sudden Jumps (Spike) In Turkish Electricity Prices with Markov Regime Switching Models

The object of this study is to analyze the effects of sudden rises (price spikes) on the actual system marginal prices (spot prices) of electricity in Turkey. The presence of these effects in the time series of market prices within the study period is investigated by using Markov-Switching Generalized Autoregressive Conditional Heteroscedasticity (MS-GARCH) method. The so-called model is identified with two different regimes of low and high volatility levels. The results show that the deviation from average prices caused by price spikes has a stochastic nature. Additionally, it is seen that normal price regimes are generally valid in the electricity market and that there is a high probability of transition from normal price regimes to sudden price rising regime. Finally the findings show that the electricity prices have a high volatility as well as a strong regime dependency.

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