Electricity Spot Price Modelling: Univariate Time Series Approach

Régis Bourbonnais and Sophie Méritet

Chapter 3 in The Econometrics of Energy Systems, 2007, pp 51-74 from Palgrave Macmillan

Abstract: Abstract As a result of deregulation reforms, modelling and forecasting of electricity prices have become of fundamental importance to participants in electricity markets. Having an appropriate representation of the electricity price is important to the actors in this new industry which is now open to competition, quite risky and characterized by uncertainties. Modelling the price of electricity is a challenging task, considering its specific features: electricity is not storable, supply needs to be balanced continuously against demand, and there is a good deal of volatility, inelasticity, seasonality and so forth. The objective of this chapter is to model and forecast the behaviour of spot prices for two wholesale electricity markets: the Elspot of the Nord Pool in Europe and PJM spot prices in the North East region in the US (based on daily data from 29 April 2004 to 30 April 2005).

Keywords: Unit Root Test; Electricity Price; Spot Price; Spot Prex; Auto Regressive Move Average (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-62631-7_3

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DOI: 10.1057/9780230626317_3

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