How Did the COVID-19 Crisis Affect the Efficiency of European Intraday Electricity Markets?

Abstract

Our goal is to examine the efficiency of different intraday electricity markets and if any of their price prediction models is more accurate than others. The focus is on the German intraday market for electricity. We want to find out whether the COVID-19 crisis has an influence on the price development. This paper includes a comprehensive review between Germany, France and Norway (NOR1) day-ahead and intraday electricity market prices. These markets represent different energy mixes which would allow us to analyse the impact of the energy mix on the efficiencies of these markets. To draw conclusions about extreme market conditions (i) we reviewed the market data linked to COVID-19. We expected a higher volatility in the lockdowns than before and therefore decrease in efficiency of the prediction models. With our analysis, (ii) we want to draw conclusions as to whether a mix based mainly on renewable energies such as that in Norway implies lower volatilities even in times of crisis. This would answer the question (iii) whether a market with an energy mix like Norway is more efficient in highly volatile phases. For the analysis we use data visualization and statistical models as well as sample and out-of-sample data.