Replication Package for Day-Ahead Electricity Market Analysis (Turkiye, 2017–2025)

This replication package provides all data, Stata scripts, estimation files, and output materials required to reproduce the empirical analysis of electricity price dynamics, volatility, and anomaly detection in Türkiye’s day-ahead electricity market over the period December 2017–June 2025. The archive includes primary datasets (in .dta and .xlsx formats) comprising 66,456 hourly observations on market-clearing prices, traded quantities, renewable generation, European electricity and fuel prices, regulatory price ceilings, system capacity, and indicator variables for the COVID-19 and Russia–Ukraine war periods; stored estimation results from ARMAX–GARCH and SARIMAX model specifications; Stata do-files used for data preparation, model estimation, robustness checks, and figure generation; and output tables and figures summarizing diagnostic tests, marginal effects, anomaly rankings, and temporal and cross-sectional visualizations of volatility and anomalous price behavior. Supplementary estimation datasets and CSV exports are also included to facilitate transparency and reproducibility. All variables are harmonized at an hourly frequency and expressed in real June 2025 prices. Data originate from publicly accessible sources, primarily the Energy Exchange Istanbul (EXIST) Transparency Platform, the Turkish Statistical Institute (TUIK), and international energy price indices. All estimations were conducted using Stata 17. This package enables full replication of the econometric modeling and empirical results reported in the associated anonymous manuscript.