Esmail Ansari - Hochschule Ruhr West – University of Applied Sciences Institute of Energy Systems and Energy Management Bottrop, Germany

Using a multiplicative seasonal ARX-GARCH Model, I investigate the impact of the feed-in power generated by wind and photovoltaic power plants into the national electricity grid and furthermore the prices of gas and CO2 allowances on the volatility of the baseload prices on the EEX day-ahead market for 2013. My results indicate that the feed-in power coming from renewable energies have a high significant price decreasing effect on the day-ahead baseload prices, while for gas and CO2 allowances prices no empirical significance could be determined.

volatility of the Day-ahead baseload prices; feed-in power coming from renewable energies; gas prices; CO2 allowances prices; multiplicative SARIMAX; GARCH