  We discuss stochastic modeling of volatility persistence and
anti-correlations in electricity spot prices, and for this purpose we present
two mean-reverting versions of the multifractal random walk (MRW). In the first
model the anti-correlations are modeled in the same way as in an
Ornstein-Uhlenbeck process, i.e. via a drift (damping) term, and in the second
model the anti-correlations are included by letting the innovations in the MRW
model be fractional Gaussian noise with H < 1/2. For both models we present
approximate maximum likelihood methods, and we apply these methods to estimate
the parameters for the spot prices in the Nordic electricity market. The
maximum likelihood estimates show that electricity spot prices are
characterized by scaling exponents that are significantly different from the
corresponding exponents in stock markets, confirming the exceptional nature of
the electricity market. In order to compare the damped MRW model with the
fractional MRW model we use ensemble simulations and wavelet-based variograms,
and we observe that certain features of the spot prices are better described by
the damped MRW model. The characteristic correlation time is estimated to
approximately half a year.
