Calcuiation And Empirical Study Of Power Market Price Risk Value Based On Extreme Value Theory

While breaking monopoly,encouraging competition and improving efficiency,the market-oriented reform of electric power in the global scope also makes each subject of the market face unprecedented risks and challenges.Under the old power control system,the price of power market was determined by the manager according to the cost,so the price of electricity was stable and predictable in a long period of time.However,in today’s competitive market,its price is determined by market competition,and the inability to store electricity efficiently makes it less resilient to demand than other commodities,and the price of electricity is susceptible to drastic fluctuations due to the influence of the relationship between power supply and demand.However,as a basic industry of the national economy,the electric power industry has a great influence on the economic development.Therefore,certain risk management of the power market is conducive to its healthy and lasting development,and is of certain significance to the reform of the power market in China.Based on the above considerations,this paper carries out internal risk control through the measurement of electricity price.Therefore,this paper uses the time series model to calculate the price risk value VaR of power market.Because the fluctuation of electricity price is different from the general normal distribution,the normal distribution model cannot accurately describe the distribution state of actual return rate data.So the extreme value theory which is more suitable to describe the distribution of return rate tail is introduced into this paper.Taking the PJM electricity market in the United States as an example,the AR-GARCH model based on the parametric method and the AR-GARCH-POT model mixed with extreme value theory based on the semi-parametric method are used to measure the electricity price return rate at two moments with high volatility.Finally,the two models are tested and compared afterwards to discuss the effectiveness and accuracy of the extreme value theory in calculating the price risk value of power market.