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For considerations of risk managements of electricity market trading, this paper presents a time series analysis and a simulation of the day-ahead spot price traded in the PJM power market, taking correlations among hourly price motions into account. The time series of the spot price was decomposed into the deterministic and stochastic components. The former has the short-term and long-term periodic components (seasonalities) with the linear trend. The short-term component is of price periodicities in a day and a week with the data length of 168 (24 hours× 7 days) and the long-term one in a year. Figure 1 shows the result of this analysis for the PJM spot price data (Jan. 2002 to Dec. 2004). The stochastic price component was analyzed by using the ARGARCH model both for hourly data (single-factor model) and daily data of hourly prices (multi-factor model), where hourly data were given as a series of hourly prices. The autoregressive (AR) and GARCH(1,1) models are expressed for a stochastic variable x at the k-th time step by

Time Series Analysis of Electricity Spot Price with AR-GARCH Model and its Application