  The increasing importance of renewable energy, especially solar and wind
power, has led to new forces in the formation of electricity prices. Hence,
this paper introduces an econometric model for the hourly time series of
electricity prices of the European Power Exchange (EPEX) which incorporates
specific features like renewable energy. The model consists of several
sophisticated and established approaches and can be regarded as a periodic
VAR-TARCH with wind power, solar power, and load as influences on the time
series. It is able to map the distinct and well-known features of electricity
prices in Germany. An efficient iteratively reweighted lasso approach is used
for the estimation. Moreover, it is shown that several existing models are
outperformed by the procedure developed in this paper.
