Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market

Rafał Weron and Adam Misiorek

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we assess the short-term forecasting power of different time series models in the Nord Pool electricity spot market. We evaluate the accuracy of both point and interval predictions; the latter are specifically important for risk management purposes where one is more interested in predicting intervals for future price movements than simply point estimates. We find evidence that non-linear regime-switching models outperform their linear counterparts and that the interval forecasts of all models are overestimated in the relatively non-volatile periods.

Keywords: Wholesale electricity price; Point forecast; Interval forecast; AR model; Threshold AR model (search for similar items in EconPapers)
JEL-codes: C22 C53 L94 Q40 (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-ecm, nep-ene and nep-for
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Citations: View citations in EconPapers (7)

Published in Proceedings of the Modern Electric Power Systems MEPS'06 International Symposium, September 6-8, 2006, Wrocław, Poland (2006): pp. 34-38

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:1363

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