engleski

Volatility of EUA prices and it's connection with the price of fossil fuels and electricity

Prices of electricity, oil, and gas are analyzed with respect to statistical distribution of price change and volatility of price change. The best time window was determined to determine signal of price change in a such manner that the change of one parameter (i.e. price) precedes the change of the other with the expected time delay. Student's distribution has shown good matching with price changes. EUA price shows great variations, and strongly depends on the period. Back-loading of EUA prices issued by European Commission caused extreme drift in price making prediction of feasibility of long-term investments in Carbon Capture (Utilization) And Storage extremely unreliable.

price change ; price change volatility ; EUA

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