Efficient modeling and forecasting of electricity spot prices

Florian Ziel, Rick Steinert and Sven Husmann

Energy Economics, 2015, vol. 47, issue C, 98-111

Abstract: The increasing importance of renewable energy, especially solar and wind power, has led to new forces in the formation of electricity prices. Hence, this paper introduces an econometric model for the hourly time series of electricity prices of the European Power Exchange (EPEX) which incorporates specific features like renewable energy. The model consists of several sophisticated and established approaches and can be regarded as a periodic VAR-TARCH with wind power, solar power, and load as influences on the time series. It is able to map the distinct and well-known features of electricity prices in Germany. An efficient iteratively reweighted lasso approach is used for the estimation. Moreover, it is shown that several existing models are outperformed by the procedure developed in this paper.

Keywords: Electricity price; Renewable energy; Leverage effect; Forecasting; VAR; Lasso (search for similar items in EconPapers)
JEL-codes: C32 C51 C53 C58 G17 Q41 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (82)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:47:y:2015:i:c:p:98-111

DOI: 10.1016/j.eneco.2014.10.012

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