Volatility of wind energy using high frequency data

While wind farm development has advanced at a great rate in Australia, driven by the Mandatory Renewable Energy Target, the high volatility of wind energy is still a big challenge to the operators of the electricity grid. It is, therefore, important to obtain accurate estimates of the volatility and hence the prediction of the wind farms' output so that wind energy can enter fully and reliably into the competitive electricity market. With the motive of getting an accurate measure of wind energy variability, and given the fact that high frequency data for the wind farm energy output is available at the level of ten second intervals, we develop a method to estimate the variance of the five minute wind energy output using the ten second data. This "five minute" dispatch interval is important for the Australian Electricity Market Operators. Our mathematical results are applicable not only to the wind farm output but also to a wide range of situations, where the high frequency time series data are serially correlated. Refereed/Peer-reviewed