The modelling and estimation of volatility in energy markets

能源市场日益放松管制的趋势给能源使用者和供应者以及政府决策者带来了重要的问题。特别是有必要管理意外负荷和价格波动的风险。其中一个主要挑战涉及价格的极端波动性和衍生品价格的评估以及考虑波动性的对冲比率。该项目的成果将有利于所有需要使用衍生品头寸来对冲能源风险的澳大利亚能源市场参与者。由于各国日益重视能源的有效利用，这个问题变得十分重要。

The growing trend of deregulation of energy markets poses important problems for users and suppliers of energy as well as for government policy makers. In particular it has become necessary to manage the risk of unexpected load and price fluctuations. One of the main challenges concerns the extreme volatility of prices and the evaluation of derivative prices and hedging ratios to take account of volatility. The outcomes of project will be of benefit to all participants in Australian energy markets who need to use derivative positions to hedge energy risk. This issue has become important due to the increasing national focus on efficient use of energy resources.