Forecasting Italian Electricity Zonal Prices with Exogenous Variables

Angelica Gianfreda and Luigi Grossi

No 01/2011, Working Papers from University of Verona, Department of Economics

Abstract: In the last few years we have observed deregulation in electricity markets and an increasing interest of price dynamics has been developed especially to consider all stylized facts shown by spot prices. Only few papers have considered the Italian Electricity Spot market since it has been deregulated recently. Therefore, this contribution is an investigation with emphasis on price dynamics accounting for technologies, market concentration and congestions. We aim to understand how technologies, concentration and congestions affect the zonal prices since these ones combine to bring about the single national price (prezzo unico d’acquisto, PUN). Hence, understanding its features is important for drawing policy indications referred to production planning and selection of generation sources, pricing and risk–hedging problems, monitoring of market power positions and finally to motivate investment strategies in new power plants and grid interconnections. Implementing Reg–ARFIMA–GARCH models, we assess the forecasting performance of selected models showing that they perform better when these factors are considered.

Keywords: Electricity prices; Production technologies; Market power (HHI; RSI); Congestions; Fractional Integration; Forecasting (search for similar items in EconPapers)
JEL-codes: C1 Q4 (search for similar items in EconPapers)
Pages: 33
Date: 2011-01
New Economics Papers: this item is included in nep-ene, nep-for and nep-reg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in submitted to scientific journal on 31 Dec 2010

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Journal Article: Forecasting Italian electricity zonal prices with exogenous variables (2012)
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