Modelling and forecasting wind speed intensity for weather risk management

Massimiliano Caporin and Juliusz Preś

Computational Statistics & Data Analysis, 2012, vol. 56, issue 11, 3459-3476

Abstract: The main interest of the wind speed modelling is on the short-term forecast of wind speed intensity and direction. Recently, its relationship with electricity production by wind farms has been studied. In fact, electricity producers are interested in long-range forecasts and simulation of wind speed for two main reasons: to evaluate the profitability of building a wind farm in a given location, and to offset the risks associated with the variability of wind speed for an already operating wind farm. Three approaches that are capable of forecasting and simulating the long run evolution of wind speed intensity are compared (wind direction is not a concern, given that the recent turbines can rotate to follow wind direction). The evaluated models are: the Auto Regressive Gamma process, the Gamma Auto Regressive process, and the ARFIMA–FIGARCH model. Both in-sample and out-of-sample comparisons are provided, as well as some examples for the pricing of wind speed derivatives using a model-based Monte Carlo simulation approach.

Keywords: Gamma Auto Regressive; Auto Regressive Gamma; ARFIMA–FIGARCH; Wind speed modelling; Wind speed simulation; Weather risk management (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (20)

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Working Paper: Modelling and forecasting wind speed intensity for weather risk management (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:11:p:3459-3476

DOI: 10.1016/j.csda.2010.06.019

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