[in Japanese]

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[in Japanese]

View full abstract

[in Japanese]

View full abstract

[in Japanese]

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We study the relationship between power price and temperature. People have 'rights' to operate heating equipment when it is cold and cooling equipment when it is hot to hedge cold and high temperatures risk. This is not an obligation. Therefore, the operation of the cooling and heating equipment can be considered as an option.　If the heating and cooling equipment run on electricity, we will have to pay the electricity bill to exercise these options, which can be thought of as an option price.　Under such a framework, the day-ahead electricity prices in the wholesale electricity market can be explained by call and put options pay-off on temperature as well as the variables showing days of the week and holidays effects.　A linear state-space model with Kalman filters is used to estimate the impact of heating and cooling options on electricity prices, which change stochastically over time. As a result, we are able to construct a simple predictive model that mean-reverting, time-dependent volatility, GARCH type volatility and spikes in electricity prices.

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