Fractional integration models for italian electricity zonal prices

In the last few years we have observed an increasing interest in deregulated electricity markets. Only few papers, to the authors’ knowledge, have considered the Italian Electricity Spot market since it has been deregulated recently. This contribution is an investigation with emphasis on price dynamics accounting for technologies, market concentration, and congestions as well as extreme spiky behavior. We aim to understand how technologies, concentration, and congestions affect the zonal prices since all these combine to bring about the single national price (prezzo unico d’acquisto, PUN). Implementing Reg–ARFIMA–GARCH models, we draw policy indications based on the empirical evidence that technologies, concentration, and congestions do affect Italian electricity prices.