Forecasting electricity spot-prices using linear univariate time-series models

Crespo-Cuaresma, Jesús and Hlouskova, Jaroslava and Kossmeier, Stephan and Obersteiner, Michael (2004) Forecasting electricity spot-prices using linear univariate time-series models. Applied Energy, 77 (1). pp. 87-106.

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Abstract or Table of Contents

This paper studies the forecasting abilities of a battery of univariate models on hourly electricity spot prices, using data from the Leipzig Power Exchange. The specifications studied include autoregressive models, autoregressive-moving average models and unobserved component models. The results show that specifications, where each hour of the day is modelled separately present uniformly better forecasting properties than specifications for the whole time-series, and that the inclusion of simple probabilistic processes for the arrival of extreme price events can lead to improvements in the forecasting abilities of univariate models for electricity spot prices.

Item Type: Article in Academic Journal
Keywords: electricity spot prices, ARMA models, structural time series models, forecasting
Status: Published
Date Deposited: 22 May 2015 08:24
Last Modified: 01 Apr 2016 14:19
URI: http://irihs.ihs.ac.at/id/eprint/3391

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