Before revision:  The study presented in this paper is conducted based on the German Intraday Continuous electricity market data, but this method can be easily applied to any other continuous intraday electricity market  .
After revision:  The study presented in this paper is conducted based on the German Intraday Continuous electricity market data, but this method can be easily applied to any other continuous intraday electricity market . For the German market, a specific generalized gamma distribution setup explains the overall behaviour significantly best, especially as the tail behaviour of the process is well covered .