TÜRKİYE ELEKTRİK FİYATLARINDAKİ ANİ SIÇRAMALARIN MARKOV REJİM DEĞİŞİM MODELLERİYLE ANALİZİ

Year 2018, , 217 - 237, 27.04.2018

Osman Tüzün , Ramazan Ekinci , Fatih Ceylan Hakan Kahyaoğlu

https://doi.org/10.18657/yonveek.309649

Abstract

Bu çalışmanın amacı, Türkiye elektrik piyasasında gerçekleşen sistem
marjinal fiyatlarındaki (spot elektrik fiyatları) ani fiyat artış (spike)
etkilerini analiz etmektir. Ele alınan zaman aralığında piyasa fiyatlarını
temsil eden zaman serisinde söz konusu etkilerin varlığı Markov-Değişim
Genelleştirilmiş Kendisiyle Bağlaşımlı Koşullu Değişen Varyans (MS-GARCH)
tekniği kullanılarak test edilmiştir. Söz konusu model düşük ve yüksek oynaklık
dönemlerini temsil eden iki farklı rejimle tanımlanmıştır.

Elde
edilen sonuçlara göre ani fiyat artışlarının (spike), ortalama fiyat düzeyinden
sapma yaratan tesadüfi (stokastik) bir etkiye sahip olduğu sonucuna
ulaşılmıştır. Bununla birlikte elektrik piyasasında genellikle normal fiyat
rejimleri geçerli olmakla birlikte, normal fiyat rejimlerinden ani fiyat
yükseliş rejimine geçiş olasılığının yüksek olduğu da görülmektedir. Ayrıca
elektrik fiyatları yüksek bir oynaklıkla birlikte güçlü bir rejim bağımlılığı
da göstermektedir.  

Keywords

Elektrik piyasası, Spike, Markov Rejim Değişim Tekniği, MS-GARCH

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