Dynamic volatility spillover effects between wind and solar power generations: Implications for hedging strategies and a sustainable power sector

C-Tier
Journal: Economic Modeling
Year: 2022
Volume: 116
Issue: C

Authors (3)

Song, Feng (not in RePEc) Cui, Jian (not in RePEc) Yu, Yihua (Renmin University of China)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Large-scale wind and solar development is impeded severely by their inherent volatilities. This study applies a novel approach to reduce the renewable investment risks from the production perspective, although there are many related studies from the financial market perspective. Using daily data from the Gansu province of China between 2013 and 2018 based on a VAR-GARCH model, we first find that wind and solar power generation are volatile, negatively correlated, and exhibit strong time varying spillover effects. We then apply three different approaches to calculate the hedge ratios and optimal capacity portfolios of wind and solar in Gansu. The result from the best MVP approach shows that the optimal capacity weights are 28.3% for wind and 71.7% for solar. This study sheds light on designing a joint development strategy to reduce security risks and integration costs during transition toward a low carbon power sector.

Technical Details

RePEc Handle
repec:eee:ecmode:v:116:y:2022:i:c:s0264999322002735
Journal Field
General
Author Count
3
Added to Database
2026-01-29