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: L94 Q40 C53 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ene and nep-for
Date: 2006
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:1363

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