Luc Bauwens, Christian M. Hafner, and Diane Pierret, "Multivariate
Volatility Modeling of Electricity Futures", Journal of Applied
Econometrics, Vol. 28, No. 5, 2013, pp. 743-761. 

The data used in this paper were extracted from the Thomson Reuters
Datastream database and cannot be made available on the web.

We consider three daily price series of Phelix baseload futures
contracts corresponding to monthly, quarterly, and yearly maturities
with respective delivery periods. The series of futures prices are
continuous series composed of successive front contracts. The series
codes are EBMCS00 for the month future, EBQCS00 for the quarter
future, and EBYCS00 for the year future. These futures contracts are
traded on the European Energy Exchange (EEX). The underlying is the
Phelix Base monthly index, the arithmetic mean of Phelix Base indices
for the delivery month (series code: EEXPHBS). German holiday dates
(dates without trading activity) are excluded from the sample (see
Trading Calendars at www.eex.com).

Returns are log returns in percentage units, that is,
100*(ln(price, t) - ln(price, t-1)). The returns on continuous
futures series are adjusted for contract switches to ensure that they
are computed on the prices of the same contract. On the first day of
the new futures contract, the t-1 price used to compute the return at
time t is different than the t-1 price of the Datastream price series.
The missing data can be found on the EEX website (www.eex.com) that
publish futures contract prices over their whole trading period (ten
months for the month future, eleven quarters for the quarter future
and six years for the year future).

The database consists of two subsamples: in-sample data over the
period 07.01.2002 until 04.14.2010 (1963 observations), and
out-of-sample data over the period 04.15.2010 until 10.15.2010 (130
observations). Exogenous variables of the congestion model as
defined in equation (9) are also included in the database:

-- DNordE.Den_Peak is the squared difference of log prices between
Phelix Base spot index and Nordpool East Denmark spot index (adjusted
for the NOK/EUR rate);

-- DPowernext_Peak is the squared difference of log prices between
Phelix Peak spot index and Powernext Peak spot index;

-- DDJ_Swiss is the squared difference of log prices between Phelix
Base spot index and the Dow Jones spot index for Swiss electricity
prices;

-- MD2M is the number of days before the first day of the next
delivery period of the month future.