Paper by Ramanpreet Kaur and Dušan Gabrijelčič in the journal Elsevier: Sustainable Energy Technologies and Assessments. Published: 11 August 2026.
Abstract:
Electricity price volatility has increased as power systems face frequent structural shocks from the coronavirus disease 2019 (COVID-19), the Russia–Ukraine war, and rapid renewable energy (RE) integration, creating uncertainty for market participants and policymakers. Existing electricity price volatility models generally perform well under stable conditions but offer little insight when volatility alternates between short-lived shocks and fundamentally persistent high-risk phases. This study fills the gap by presenting an event-aware, fundamentals-based volatility framework and applying it to Slovenia’s day-ahead electricity market from 2019 to 2024. The results clearly show that volatility dynamics is event-dependent, where load fluctuations and fossil fuel price shocks consistently increase volatility, while renewable generation provides only a limited and moderate stabilizing effect after high penetration is reached. Further, volatility becomes more state-dependent and persistent after large-scale renewable integration. Exponential generalized autoregressive conditional heteroskedasticity model with exogenous variables (EGARCH-X) model show superior performance for short-term volatility forecast during shock-driven and post-RE integration periods. However, regime-switching models improve the understanding of volatility dynamics by identifying persistent high-volatility states. In summary, the results show that models that forecast volatility accurately are not always good at explaining volatility behavior. Thus, highlighting the need for flexible volatility modeling strategies for electricity markets undergoing structural transformation.
