International Advances in Economic Research

, Volume 13, Issue 4, pp 415–432

Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis

  • Bruno Paolo Bosco
  • Lucia P. Parisio
  • Matteo M. Pelagatti

DOI: 10.1007/s11294-007-9105-z

Cite this article as:
Bosco, B.P., Parisio, L.P. & Pelagatti, M.M. Int Adv Econ Res (2007) 13: 415. doi:10.1007/s11294-007-9105-z


In this paper we analyze a time series of daily average prices in the Italian electricity market, which started to operate as a Pool in April 2004. Our objective is to model the high degree of autocorrelation and the multiple seasonalities in electricity prices. We use periodic time series models with GARCH disturbances and leptokurtic distributions and compare their performance with more classical ARMA-GARCH processes. The within-year seasonal variation is modelled using the low-frequency components of physical quantities, which are very regular throughout the sample. Our results reveal that much of the variability in the price series is explained by the interactions between deterministic multiple seasonalities. Periodic AR-GARCH models seem to perform quite well in mimicking the features of the stochastic part of the price process.


Electricity auctions Periodic time series Conditional heteroskedasticity Multiple seasonalities 

JEL Classification

C22 D44 L94 Q40 

Copyright information

© International Atlantic Economic Society 2007

Authors and Affiliations

  • Bruno Paolo Bosco
    • 1
  • Lucia P. Parisio
    • 1
  • Matteo M. Pelagatti
    • 2
  1. 1.Department of Legal and Economic SystemsUniversity of Milan-BicoccaMilanItaly
  2. 2.Department of StatisticsUniversity of Milan-BicoccaMilanItaly