NDLI: Determinants for European energy markets intra-day volatility using dynamic panel data models and GMM-type estimators

Content Provider	IEEE Xplore Digital Library
Author	Solibakke, P.B. Arethun, T. Oklevik, O.
Copyright Year	2010
Description	Author affiliation: SFj University College, Norway (Oklevik, O.) \|\| Molde University College, Norway (Solibakke, P.B.; Arethun, T.)
Abstract	The volatility of the Scandinavian international future energy market is examined based on a well known intra-day range-based measure of volatility. The main purpose of the paper is to identify determinants of the energy market's intra-day volatility. Firstly, the investigation is a contract-by-contract, range-based volatility measure. The findings are (1) long memory in volatility the longest contracts (year), but not for the shortest (month), (2) the first difference contemporaneous and one-day lagged trading volume measures influences daily volatility positively and consistently over all contracts, (3) trading volume seems to dominate the Samuelson (maturity) and the open-interest hypotheses thus manifesting earlier findings of future markets. Secondly, the paper applies a relatively new methodology to cope with dynamic panel data models, where every contract in the market is organized as a panel. The GMM-type estimator for dynamic panel-data of Arellano [1] is therefore implemented. The results show appropriate specification residual tests and demonstrate firstly the importance of volatility serial correlation. This estimator also shows that the change in daily trading volume is the major determinant of intra-day volatility. In contrast to the segmented analyses, time to maturity shows increased intra-day volatility influence while the measures of bid-ask spread and open interest show decreased significance. The main GMM findings are therefore that the change in trading volume (including lags) and time to maturity are major determinants of intra-day volatility.
Starting Page	1
Ending Page	6
File Size	482349
Page Count	6
File Format	PDF
ISBN	9781424468386
e-ISBN	9781424468409
DOI	10.1109/EEM.2010.5558748
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2010-06-23
Publisher Place	Spain
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Trading Volume Bid-Ask Spread Noise Time to Maturity Open Interest Market Depth Educational institutions Electricity Forward/Future Markets Digital TV Intra-day Volatility
Content Type	Text
Resource Type	Article

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