Forecasting daily spot prices in the Russian electricity market with the ARFIMA model

Yuri Balagula

Applied Econometrics, 2020, vol. 57, 89-101

Abstract: The long memory phenomenon in time series of daily spot prices in the Russian electricity market is investigated. The forecasting performance of the ARFIMA model is assessed by cross-validation. The empirical results confirmed the presence of long memory in electricity prices and the best prediction accuracy of the ARFIMA model.

Keywords: ARFIMA; time series; long memory; electricity market (search for similar items in EconPapers)
JEL-codes: C22 C53 L94 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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