The power of weather

Christian Huurman, Francesco Ravazzolo and Chen Zhou ()

Computational Statistics & Data Analysis, 2012, vol. 56, issue 11, 3793-3807

Abstract: Weather information demonstrates predictive power in forecasting electricity prices in day-ahead markets in real time. In particular, next-day weather forecasts improve the forecast accuracy of Scandinavian day-ahead electricity prices in terms of point and density forecasts. This suggests that weather forecasts can price the weather premium on electricity prices. By augmenting with weather forecasts, GARCH-type time-varying volatility models statistically outperform specifications which ignore this information in density forecasting.

Keywords: Electricity prices; GARCH models; Weather forecasts; Point and density forecasts (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (46)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:11:p:3793-3807

DOI: 10.1016/j.csda.2010.06.021

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