This work examines volatility in the Iberian Electricity Market (MIBEL) during 2022-2023, a period marked by geopolitical instability that amplified the energy crisis. During this period, regulatory actions were also implemented to mitigate this impact. We apply a Time-Varying GJR-GARCH model that distinguishes between long-term deterministic variance and short-term conditional variance. The results reveal a notable change in volatility around October 2023, indicating a shift to a higher-volatility regime. Despite the price reductions in 2023, volatility increased by 77%, driven by higher renewable energy penetration, unusually warm weather, and the recovery of French nuclear supply. These findings demonstrate that TV-GARCH models capture volatility during structural changes more effectively than conventional GARCH models.

Keywords

Iberian Electricity Market, Time-Varying GJR-GARCH, Volatility, Renewable.