Benchmarking time series based forecasting models for electricity balancing market prices

Gro Klaeboe (), Anders Lund Eriksrud and Stein-Erik Fleten
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Gro Klaeboe: Norwegian University of Science and Technology
Anders Lund Eriksrud: Norwegian University of Science and Technology

No 2013-006, Working Papers from The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting

Abstract: In the trade-off between bidding in the day-ahead electricity market and the real time balancing market, producers need good forecasts for balancing market prices to make informed decisions. A range of earlier published models for forecasting of balancing market prices, including a few extensions, is benchmarked. The models are benchmarked both for one hour-ahead and day-ahead forecast, and both point and interval forecasts are compared. None of the benchmarked models produce informative day-ahead point forecasts, suggesting that information available before the closing of the day-ahead market is effciently reflected in the day-ahead market price rather than the balancing market price. Evaluation of the interval forecasts reveals that models without balancing state information overestimate variance, making them unsuitable for scenario generation.

Keywords: Federal Reserve; Forecast Evaluation; Survey of Professional Forecasts; Business Cycle; Mahalanobis Distance (search for similar items in EconPapers)
JEL-codes: C5 E2 E3 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2013-10
New Economics Papers: this item is included in nep-ene, nep-for and nep-mac
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Citations: View citations in EconPapers (6)

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