This paper evaluates the accuracy of several hundred one-day-ahead value at risk (VaR) forecasts for predicting Australian electricity returns. We propose a class of observation-driven time series models referred to as asymmetric exponential generalised autoregressive score (AEGAS) models. The mechanism to update the parameters over time is provided by the scaled score of the likelihood function in the AEGAS model. Based on this new approach, the results provide a unified and consistent framework for introducing time-varying parameters in a wide class of non-linear models. The Australian energy markets is known as one of the most volatile and, when compared to some well-known models in the recent literature as benchmarks the fitting and forecasting results demonstrate the superior performance and considerable flexibility of proposed model for electricity markets. (C) 2018 Elsevier Ltd. All rights reserved.