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用户和供应商以及政府政策制定者带来了重大问题。特别是，有必要管理意外负荷和价格波动的风险。主要挑战之一涉及价格的极端波动性以及为考虑波动性而评估衍生品价格和套期保值比率。该项目的结果将有利于澳大利亚能源市场上所有需要利用衍生品头寸对冲能源风险的参与者。由于国家日益重视能源资源的高效利用，这一问题变得重要起来。

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.