Robust estimation and forecasting of the long-term seasonal component of electricity spot prices

Jakub Nowotarski, Jakub Tomczyk and Rafał Weron

Energy Economics, 2013, vol. 39, issue C, 13-27

Abstract: We present the results of an extensive study on estimation and forecasting of the long-term seasonal component (LTSC) of electricity spot prices. We consider a battery of over 300 models, including monthly dummies and models based on Fourier or wavelet decomposition combined with linear or exponential decay. We find that the considered wavelet-based models are significantly better in terms of forecasting spot prices up to a year ahead than the commonly used monthly dummies and sine-based models. This result questions the validity and usefulness of stochastic models of spot electricity prices built on the latter two types of LTSC models.

Keywords: Electricity spot price; Long-term seasonal component; Robust modeling; Forecasting; Wavelets (search for similar items in EconPapers)
JEL-codes: C14 C51 C53 Q47 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (57)

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Related works:
Working Paper: Robust estimation and forecasting of the long-term seasonal component of electricity spot prices (2012)
Working Paper: Robust estimation and forecasting of the long-term seasonal component of electricity spot prices (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:39:y:2013:i:c:p:13-27

DOI: 10.1016/j.eneco.2013.04.004

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