Forecasting Nord Pool day-ahead prices with an autoregressive model

Tarjei Kristiansen

Energy Policy, 2012, vol. 49, issue C, 328-332

Abstract: This paper presents a model to forecast Nord Pool hourly day-ahead prices. The model is based on Weron and Misiorek (2008) but reduced in terms of estimation parameters (from 24 sets to 1) and modified to include Nordic demand and Danish wind power as exogenous variables. We model prices across all hours in the analysis period rather than across each single hour of 24hours. By applying three model variants on Nord Pool data, we achieve a weekly mean absolute percentage error (WMAE) of around 6–7% and an hourly mean absolute percentage error (MAPE) ranging from 8% to 11%. Out of sample results yields a WMAE and an hourly MAPE of around 5%. The models enable analysts and traders to forecast hourly day-ahead prices accurately. Moreover, the models are relatively straightforward and user-friendly to implement. They can be set up in any trading organization.

Keywords: Nordic power market; Price forecasting; Autoregressive exogenous model (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (81)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301421512005381
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:enepol:v:49:y:2012:i:c:p:328-332

DOI: 10.1016/j.enpol.2012.06.028

Access Statistics for this article

Energy Policy is currently edited by N. France

More articles in Energy Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().