Thuesday, 28th March 2023
12:00 – 13:30

Fondazione Eni Enrico Mattei
Corso Magenta 63, Milano
Sala Cinema

Prof. Luca Rossini
University of Milan


Electricity is a non- or partially storable commodity, it must be produced when and where demanded. The impossibility to store economically electricity and the variability introduced into the system by new regulations and the imperfect predictability of fundamental drivers are sources of uncertainties reflected in electricity prices and their volatility. In recent years, worldwide energy policies have supported, and they are still fostering, green generation to reduce carbon emissions and mitigate climate change. We study the importance of renewable energy sources (RES) in modelling and forecasting hourly electricity prices by means of constant error term and time-varying volatility. We find that using regressors as fuel prices, forecasted demand and forecasted renewable energy is essential to properly capture the volatility of these prices. Moreover, we show that the time-varying volatility models outperform the constant volatility models in both the in-sample model-fit and the out-of-sample forecasting performance.


Luca Rossini is currently a tenure-track Assistant Professor in Statistics in the Department of Economics, Management and Quantitative Methods at University of Milan. His research interests span across Econometrics and Statistics. In particular, he is interested in Bayesian methods applied to time series models and to graph/network theory; and he is also currently working on novel Bayesian nonparametric techniques and on covariance matrix estimation.

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