Vorträge im Wintersemester 19/20
Die Vorträge im Wintersemester 19/20 finden in der Regel mittwochs von 18:00 - 20:00 im Raum S06 S00 A21 (Wegbeschreibung) auf dem Campus Essen statt.
Termine und Vortragende:
13.11.2019: Dr. Maren Schmeck, University of Bielefeld
On the Seasonality in the Implied Volatility of Electricity Options
Seasonality is an important topic in electricity markets, as both supply and demand are dependent on the time of the year. Clearly the level of prices shows a seasonal behaviour, but not only. Also the price fluctuations are typically seasonal. In this paper, we study empirically the implied volatility of options on electricity futures, investigate whether seasonality is present and we aim at quantifying its structure. Although typically futures prices can be well described through multi-factor models including exponentially decreasing components, we do not find evidence of exponential behaviour in our data set. Generally, a simple linear shape reflects the squared volatilities very well as a curve depending on the time to maturity. Moreover, we find that the level of volatility exhibits clear seasonal patterns that depend on the delivery month of the futures. Furthermore, in an out-of-sample analysis we compare the performance of several implementations of seasonality in the one factor framework.