Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices

Jakub Nowotarski, Jakub Tomczyk () and Rafał Weron

No HSC/13/02, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: We present the results of an extensive study on modeling and forecasting of the long-term seasonal component (LTSC) of electricity spot prices. We consider a vast array of models including linear regressions, monthly dummies, sinusoidal decompositions and wavelet smoothers. We find that in terms of forecasting EEX and Nord Pool spot prices up to a year ahead, wavelet-based models significantly outperform all considered piecewise constant and sine-based models. This result challenges the traditional approach to deseasonalize spot electricity prices by fitting monthly dummies or sinusoidal functions.

Keywords: Electricity spot price; Forecasting; Seasonality; Monthly dummies; Sinusoidal decomposition; Wavelets (search for similar items in EconPapers)
JEL-codes: C45 C53 C80 Q47 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2013-02-15
New Economics Papers: this item is included in nep-ene and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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