Volatility spillovers are a characteristic of interconnected electricity markets. We use high-frequency prices to analyze the transmission of volatility across five Australian regional electricity markets. We propose several models: The first includes only realized variances; the second adds realized covariances; the last two include positive and negative realized semi(co)variances, separately, obtained from the decomposition of the realized covariance matrix into components based on the sign of the underlying returns. We carry out the analysis for both static and dynamic frameworks and relate the behavior of spillovers to major events and policies affecting the markets. Results show that ignoring covariances results in spillovers being underestimated and highlight the importance of the role of semi(co)variances in detecting asymmetric spillovers. Finally, we discuss implications for short-run market participants and long-term planning by regulators.

波动性溢出是相互关联的电力市场的一个特征。我们使用高频价格来分析五个澳大利亚地区电力市场的波动性传递。我们提出了几个模型：第一个模型只包括已实现的方差；第二个添加实现的协方差；最后两个包括正和负的已实现半（协）方差，分别是从已实现协方差矩阵分解为基于基础收益符号的分量获得的。我们对静态和动态框架进行分析，并将溢出行为与影响市场的重大事件和政策联系起来。结果表明，忽略协方差会导致溢出被低估，并突出了半（协）方差在检测不对称溢出中的作用的重要性。