Econometric modelling and forecasting of intraday electricity prices

Micha{\l} Narajewski and Florian Ziel

Papers from arXiv.org

Abstract: In the following paper, we analyse the ID$_3$-Price in the German Intraday Continuous electricity market using an econometric time series model. A multivariate approach is conducted for hourly and quarter-hourly products separately. We estimate the model using lasso and elastic net techniques and perform an out-of-sample, very short-term forecasting study. The model's performance is compared with benchmark models and is discussed in detail. Forecasting results provide new insights to the German Intraday Continuous electricity market regarding its efficiency and to the ID$_3$-Price behaviour.

Date: 2018-12, Revised 2019-09
New Economics Papers: this item is included in nep-ene, nep-for and nep-reg
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1812.09081

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