From day-ahead to mid and long-term horizons with econometric electricity price forecasting models

Paul Ghelasi and Florian Ziel

Renewable and Sustainable Energy Reviews, 2025, vol. 217, issue C

Abstract: Robust econometric models for mid to long-term electricity price forecasting have become increasingly critical due to evolving market dynamics and price volatility. The European energy crisis in 2022 led to unprecedented fluctuations in energy prices, underscoring challenges for operational and risk management. After a comprehensive literature analysis, we address key challenges: (1) Constraining coefficients with bounds derived from fundamental models for interpretability; (2) Incorporating seasonal expectations of regressors such as load and renewables to stabilize long-term forecasts; (3) Managing unit root behaviour of power prices by estimating same-day relationships and projecting them forward. We develop interpretable models for forecasting horizons from one day to one year and provide guidelines on modelling frameworks and key variables. A practical application with scenario analysis demonstrates the framework. We conduct forecasting studies on Germany’s hourly electricity prices, by applying regularized regression and generalized additive models.

Keywords: Electricity price forecasting; Mid-term; Long-term; Renewables; Load; Econometric models; Unit root; Spurious effects; Regularization (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.rser.2025.115684

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