Hybrid ARIMA and Support Vector Regression in Short-term Electricity Price Forecasting

Jindřich Pokora
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Jindřich Pokora: Department of Corporate Economy, Faculty of Economics and Administration, Masaryk University, Lipová 41a, 602 00 Brno, Czech Republic

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2017, vol. 65, issue 2, 699-708

Abstract: The literature suggests that, in short-term electricity-price forecasting, a combination of ARIMA and support vector regression (SVR) yields performance improvement over separate use of each method. The objective of the research is to investigate the circumstances under which these hybrid models are superior for day-ahead hourly price forecasting. Analysis of the Nord Pool market with 16 interconnected areas and 6 investigated monthly periods allows not only for a considerable level of generalizability but also for assessment of the effect of transmission congestion since this causes differences in prices between the Nord Pool areas. The paper finds that SVR, SVRARIMA and ARIMASVR provide similar performance, at the same time, hybrid methods outperform single models in terms of RMSE in 98 % of investigated time series. Furthermore, it seems that higher flexibility of hybrid models improves modeling of price spikes at a slight cost of imprecision during steady periods. Lastly, superiority of hybrid models is pronounced under transmission congestions, measured as first and second moments of the electricity price.

Keywords: short-term electricity price forecasting; hybrid models; time series; ARIMA models; support vector regression; transmission congestion; Nord Pool electricity market (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:mup:actaun:actaun_2017065020699

DOI: 10.11118/actaun201765020699

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