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This work presents the results of an empirical research with the target ofmodeling the stylized facts of the daily expost System Marginal Price (SMP) ofthe Greek wholesale electricity market, using data from January 2004 toDecember of 2011. SMP is considered here as the footprint of an underlinestochastic and nonlinear process that bears all the information reflecting notonly the effects of changes in endogenous or fundamental factors of the marketbut also the impacts of a series of regulatory reforms that have continuouslychanged the market's microstructure. To capture the dynamics of the conditionalmean and volatility of SMP that generate the stylized facts(mean reversion,price spikes, fat tails price distribution etc), a number of ARMAX GARCH modelshave been estimated using as regressors an extensive set of fundamental factorsin the Greek electricity market as well as dummy variables that mimic thehistory of Regulator's interventions. The findings show that changes in themicrostructure of the market caused by the reforms have strongly affected thedynamic evolution of SMP and that the best found model captures adequately thestylized facts of the series that other electricity and financial marketsshare. The dynamics of the conditional volatility generated by the model can beextremely useful in the efforts that are under way towards market restructuringso the Greek market to be more compatible with the requirements of the EuropeanTarget Model.

Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market