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June 13, 2026MathematicsOpen Access

Realized Volatility Forecasting in the Spanish Electricity Market During the 2021–2025 Energy Crisis

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Authors

DVDavid Veloso-CastelloJGJ. Carlos Garcı́a-Dı́az

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Overview

Randomized trial analyzes volatility forecasting in the Spanish electricity market, suggesting improved prediction models.

Key Points

  • The aim is to analyze and enhance volatility forecasting in the Spanish electricity market during the energy crisis from 2021 to 2025.
  • Analyzed high-frequency electricity price data from 2021 to 2025.
  • Constructed realized volatility measures using jump-robust and noise-robust estimators.
  • Evaluated various volatility models, including GARCH-type and HAR specifications, using out-of-sample forecasting methods.
  • All GARCH models were excluded from the superior set of models for forecasting.
  • HAR models incorporating Median Realized Volatility and jump components showed the best performance.
  • Achieved Out-of-Sample ROOS 2 close to 0.5 with unbiased forecasts.

Cite This Study

Veloso-Castello et al. (2026) studied this question.

synapsesocial.com/papers/6a2cf62dfaef96ed7f057f22https://doi.org/10.3390/math14122100
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