In our analysis of electricity price series from Australia's National Electricity Market (NEM), we employ the indicator saturation (IS) approach to simultaneously model the stylised facts of electricity prices, including extreme spikes, seasonality, level-shifts, and autocorrelation. The standard modelling methods described in the literature tend to use regime-switching models to cope with these characteristics, but these models cannot fully reflect the stylised facts of interest. Using a range of model-evaluation tools, our analysis finds that the IS method outperforms the regime-switching models in various settings. In addition to the statistical superiority of this approach, we detail the relevance of our findings to policymaking in the NEM and provide recommendations for the development of the electricity markets in Australia.

在我们对澳大利亚国家电力市场 (NEM) 的电价系列的分析中，我们采用指标饱和 (IS) 方法同时对电价的程式化事实进行建模，包括极端峰值、季节性、水平变化和自相关。文献中描述的标准建模方法倾向于使用状态切换模型来应对这些特征，但这些模型不能完全反映感兴趣的程式化事实。使用一系列模型评估工具，我们的分析发现 IS 方法在各种设置中优于状态转换模型。除了这种方法的统计优势外，我们还详细介绍了我们的发现与 NEM 决策的相关性，并为澳大利亚电力市场的发展提供了建议。