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This paper uses high-frequency spot price data from fourteen wholesale electricity markets in Europe to analyze asymmetric volatility in European day-ahead power markets with Exponential GARCH (E-GARCH) and TARCH models. Our data set ranges from 1992 to 2015 and consists of approximately 926,000 observations. As such, this paper constitutes the most extensive and comprehensive work conducted so far on European power markets, to the best of our knowledge. Unlike most of the literature that treats price as a continuous variable and attempts to model its trajectory, this paper adopts a unique approach and regards each hour in a day a separate market. The results show, in post-2008 period, the most expensive electricity is consumed in Turkey, Ireland, and UK while the cheapest power is in Russia, Nordic countries, and Czech Republic. Russia, Poland, and Czech Republic have the least volatile …