Extreme value analysis of electricity demand in the UK

Abstract

For the first time, an extreme value analysis of electricity demand in the UK is provided. The analysis is based on the generalized Pareto distribution. Its parameters are allowed to vary linearly and sinusoidally with respect to time to capture patterns in the electricity demand data. The models are shown to give reasonable fits. Some useful predictions are given for the value at risk of the returns of electricity demand.

Keywords:

• extreme values
• generalized Pareto distribution
• value at risk

JEL Classification:

• C16
• C13