A comparison of different univariate forecasting models forSpot Electricity Price in India

G P Girish () and Aviral Tiwari
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G P Girish: Department of Finance, IBS Hyderabad, IFHE University, India

Economics Bulletin, 2016, vol. 36, issue 2, 1039-1057

Abstract: In this study we compare the forecasting performance of ARFIMA model, Auto-ARIMA model, Taylor's double seasonal Holt-Winter's model, Exponential smoothing state space model and theta forecast for spot electricity price of Indian electricity market which has never been done before. The forecasting performance results of different univariate forecasting models provide crucial insights about Indian spot electricity price behaviour and help electricity producers and consumers of Indian electricity market to forecast prices more accurately.

Keywords: Spot Electricity Price; Forecasting; India; Exponential smoothing; Holt–Winters; Box–Jenkins. (search for similar items in EconPapers)
JEL-codes: C2 Q4 (search for similar items in EconPapers)
Date: 2016-06-11
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