Research on the Spillover Risk of Two-Tier Inter- and Intra-Provincial Electricity Spot Markets

With the increasingly close relationship between the two-tier Inter- and Intra-Provincial Electricity Spot Markets, in order to explore the impact between different markets, this paper studies the risk spillover effect of the inter-provincial spot market on the intra-provincial spot market from the perspective of post-risk assessment. Firstly, the commonly used spillover risk measurement index ΔCoVaR is introduced as the basis for judging the size of the risk. Secondly, based on quantile regression and DCC-GARCH module, the calculation model of inter-provincial spillover risk to intra-provincial spot market is established. Finally, the spillover risk of the day-ahead and intra-day electricity spot market in a province of China is analyzed. It is found that in the day-ahead stage, the inter-provincial electricity spot market will have a positive price spillover risk to the intra-provincial electricity spot market price, while in the intra-day stage, the interprovincial electricity spot market will frequently have a negative price spillover risk to the intra-provincial electricity spot market price.