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SEEPEX a.d. Beograd is a licensed operator in an organised electricity market launched early in 2016. Clearly, SEEPEX is a very young power exchange in the early stages of development, making the time series required for an analysis of trade and overall market performance rather short. The authors studied trade data available between the birth of SEEPEX and the end of 2019, which is a long enough period to draw conclusions as to the possibility of predicting volatility and the price of power traded on SEEPEX in the observed period.

Modelling and Forecasting Volatility on Electric Power Exchange SEEPEX