Frequency measurements indicate the state of a power grid. In fact, deviations from the nominal frequency determine whether the grid is stable or in a critical situation. We aim to understand the fluctuations of the frequency on multiple time scales with a recently proposed method based on detrended fluctuation analysis. It enables us to infer characteristic time scales and generate stochastic models. We capture and quantify known features of the fluctuations like periodicity due to the trading market, response to variations by control systems, and stability of the long time average. We discuss similarities and differences between the British grid and the continental European grid.