Forecasting Italian electricity zonal prices with exogenous variables

Angelica Gianfreda and Luigi Grossi

Energy Economics, 2012, vol. 34, issue 6, 2228-2239

Abstract: In the last few years we have observed the deregulation in electricity markets and an increasing interest in price dynamics has been developed especially to consider all stylized facts shown by spot prices. Only few papers have considered the Italian Electricity Spot market since it has been deregulated recently. Therefore, this contribution is an investigation with emphasis on price dynamics accounting for technologies, market concentration, congestions and volumes. We aim to understand how these four variables affect zonal prices since these ones combine to bring about the single national price (prezzo unico d'acquisto, PUN). Hence, understanding its features is important for drawing policy indications referred to production planning and selection of generation sources, pricing and risk-hedging problems, monitoring of market power positions and finally to motivate investment strategies in new power plants and grid interconnections. Implementing Reg-ARFIMA–GARCH models, we assess the forecasting performance of selected models showing that they perform better when these factors are considered.

Keywords: Electricity prices; Production technologies; Market power; Congestions; Fractional integration; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C32 C51 C53 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (74)

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Working Paper: Forecasting Italian Electricity Zonal Prices with Exogenous Variables (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:34:y:2012:i:6:p:2228-2239

DOI: 10.1016/j.eneco.2012.06.024

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