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Under the pressure of global environmental climate change, all countries in the world are developing renewable energy such as hydropower, wind energy, and solar energy As a result, the electricity price varies in different patterns depending on the penetration of renewable energy. In this paper, a non-parametric model is employed to analyze the historical data of electricity spot price from Danish price areas of the Nord Pool (with high percentage of wind power), Swedish price areas of the Nord Pool (with high percentage of hydropower) and PJM market (with little renewable energy penetrated). The objective is to deeply understand the influence of renewable energies on electricity price volatility. It is found that electricity prices are more stable in Swedish price areas as hydropower is a more stable energy source. The electricity price in PJM market is also comparatively stable, only more volatile than Swedish market, as fossil fuels are dominant energy resources. For Danish price areas, the volatility of electricity prices is clearly affected by wind power, which is a highly intermittent energy resource.