Modeling the returns to monthly TCCs from 2010 through 2016 within the NYISO region. Data is first acquired from NYISO and St. Louis Federal Reserve and saved to a local database (user machine). The data is transformed to calculate profits and returns to investment. The transformed data is then analyzed with a CAPM model and GARCH to deteremine the alpha's of monthly TCCs.
- load_dam_data.r
Load day ahead market data. - load_tcc.data.r
Load transmission congestion contract data. - load_daily_dam_to_DB.r
Load daily day ahead market data and save to local postgresql database. - load_transform_data.r
Load already transformed data (load > transform and save > load transformed) - Exploratory_DataSources.r
Scratch space for initial exploratory analysis and work.
- Returns_to_TCC.R
Calculating profits and returns to TCCs
- Garch_modeling.r
Capital asset returns modeling accounting for time and network effects on congestion.
Please contact author with questions or comments.