• Sonal Gupta
• Dr. Deepankar Chakrabarti
• Dr. Hiranmoy Roy

A robust trading system is vital to promote competition and growth in the Indian energy exchange. With electricity being a peculiar commodity exhibiting characteristics of seasonality and periods of spikes and jumps, price modeling, forecasting, and risk management have become the need of the hour. Although, various studies in the existing body of literature have been conducted modeling spot electricity prices across the globe but very few have worked in the Indian context. But before applying any technique, the fundamental question which arises is that whether the Indian spot price data is stationary. This study investigates the same by using daily spot prices for each of the five regions (North, South, East, West and North East) further divided into 13 bid areas (A1, A2, E1, E2, N1, N2, N3, S1, S2, S3, W1, W2 and W3) from August, 2008 till August, 2017 of the Indian Energy Exchange and applying unit root tests such as Augmented Dickey-Fuller Test, Phillips Perron Test, Kwiatkowski–Phillips–Schmidt–Shin Test and ADF- Elliott- Rothenberg- Stock Point Optimal to check for the stationarity. This study will encourage the stakeholders such as generators and distribution companies to further apply time- series econometric models which would further help in preparation of a risk mitigation model.

Spot electricity price, Indian electricity market, ADF, KPSS , Unit root, PP

"INDIAN ENERGY EXCHANGE DAY AHEAD MARKET: THE ISSUE OF STATIONARITY", International Journal of Emerging Technologies and Innovative Research (www.jetir.org), ISSN:2349-5162, Vol.5, Issue 8, page no.632-638, August-2018, Available :http://www.jetir.org/papers/JETIR1808734.pdf

"INDIAN ENERGY EXCHANGE DAY AHEAD MARKET: THE ISSUE OF STATIONARITY", International Journal of Emerging Technologies and Innovative Research (www.jetir.org | UGC and issn Approved), ISSN:2349-5162, Vol.5, Issue 8, page no. pp632-638, August-2018, Available at : http://www.jetir.org/papers/JETIR1808734.pdf