The growing need for energy sustainability and energy security has become the driving force behind the acceleration of renewable energy technology deployment and development and the subsequent shift in the energy mix in Europe. The increased penetration of RES creates challenges for the energy system. Renewable power generation is not programmable and has a variable output, which adds to the already volatile wholesale electricity markets. This study extends the current literature by employing an empirical study to quantify the effect of renewable power generation on the electricity prices in the day-ahead market in Greece in the November 2020 – June 2022 time window. GARCH-in-Mean models for each time band (all hours, peak hours, off-peak hours) are employed to investigate this relationship. The potential impact of the invasion of Ukraine on price volatility is also included in the approach. The results of the study confirm the existence of merit order effect for all time bands and periods under study. Concerning the effect on price volatility, the results are inconclusive. For both periods, the results display different signs (increasing or decreasing price volatility) depending on the time band. For the 1st period, the results are statistically not significant, while for the 2nd period, they are significant.
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