A stochastic time-series model for solar irradiation

Karl Larsson, Rikard Green and Fred Espen Benth

Energy Economics, 2023, vol. 117, issue C

Abstract: We propose a novel stochastic time series model able to explain the stylized features of daily irradiation level data in 5 cities in Germany. The model is suitable for applications to risk management of photovoltaic power production in renewable energy markets. The suggested dynamics is a low-order autoregressive time series with seasonal level given by an atmospheric clear-sky model. Moreover, we detect a skewness property in the residuals which we explain by a winter–summer regime switch. The stochastic variance is modeled by a seasonally varying GARCH-dynamics. The winter and summer standardized residuals are proposed to be a Gaussian mixture model to capture the bimodal distributions. We estimate the model on the observed data, and perform a validation study. An application to energy markets studying the production at risk for a PV-producer is presented.

Keywords: Solar; Time-series; Photovoltaic; Renewable; Energy; Risk (search for similar items in EconPapers)
JEL-codes: C5 Q4 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005503

DOI: 10.1016/j.eneco.2022.106421

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