基于TGARCH-VineCopula的电价波动分析及风险度量研究  

Fluctuation analysis and risk measurement of electricity pricing using TGARCH and VineCopula

作　　者：谢航 赖春羊 曾宏 马光文[1] 陈仕军[1,2] 王建华 XIE Hang;LAI Chunyang;ZENG Hong;MA Guangwen;CHEN Shijun;WANG Jianhua(College of Water Resources and Hydropower/State Key Laboratory of Hydraulics and Mountain River Engineering,Sichuan University,Chengdu 610065,China;Business School,Sichuan University,Chengdu 610065,China;Dadu River Company,China Energy Corporation,Chengdu 610041,China)

机构地区：[1]四川大学水利水电学院/水力学与山区河流开发保护重点实验室,四川成都610065 [2]四川大学商学院,四川成都610065 [3]国家能源大渡河公司,四川成都610041

出　　处：《电力系统保护与控制》2022年第4期13-23,共11页Power System Protection and Control

基　　金：国家重点研发计划项目资助(2018YFB0905204)。

摘　　要：在市场化交易中,计及电价波动信息的风险度量可以帮助市场利益相关者规避风险。为此,结合TGARCH与VineCopula理论,提出一种电价波动分析及风险度量的新方法。该方法用TGARCH建立日前、实时及辅助服务交易电价边缘分布,通过VineCopula拟合各交易电价的多维相依结构。基于得到的相关系数与尾部关系分析各交易电价之间的动态波动规律,并测度电价动态波动风险。实证分析证明,该方法不仅可以捕捉负荷容量比和可再生能源渗透率作用下价格波动的变化,还可以较为准确地描述各交易电价的非线性关联结构,进而捕获日前、实时、辅助服务交易电价之间逐时动态波动特征。此外,与其他方法相比还能更有效地降低组合波动风险。In a market-oriented transaction,risk measurement of electricity price fluctuation contributes to conduct risk management for market stakeholders.This paper proposes a new method for analyzing electricity price fluctuation and measure risk.It combines TGARCH and Vinecopula.This method applies TGARCH to establish the margin distribution of day-ahead,real-time and ancillary service transaction electricity prices,and uses Vinecopula to fit the multi-dimensional dependent structure of each transaction electricity price.Based on the Kendall rank correlation and tail correlation calculated from the method,the dynamic fluctuation characteristic between each transaction price is analyzed,and its risk is measured.Empirical analysis shows that this method can not only capture the change of price fluctuation under the combined action of load/capacity ratio and renewable energy penetration rate,but can also accurately describe the nonlinear correlation structure of each transaction price.This can capture the dynamic fluctuation characteristics of day-ahead,real-time and ancillary service transaction price.Also,it can more effectively reduce portfolio volatility risk in comparison to other methods.This work is supported by the National Key Research and Development Program of China(No.2018 YFB0905204).

关 键 词：电价分析 TGARCH VineCopula 风险度量 

分 类 号：F426.61[经济管理—产业经济] TM73[电气工程—电力系统及自动化]