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Forecasting electricity spot prices using time-series models with a double temporal segmentation

Marie Bessec (), Julien Fouquau and Sophie Meritet ()

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Abstract: The French wholesale market is set to expand in the next few years under European pressure and national decisions. In this article, we assess the forecasting ability of several classes of time-series models for electricity wholesale spot prices at a day-ahead horizon in France. Electricity spot prices display a strong seasonal pattern, particularly in France, given the high share of electric heating in housing during winter time. To deal with this pattern, we implement a double temporal segmentation of the data. For each trading period and season, we use a large number of specifications based on market fundamentals: linear regressions, Markov-switching (MS) models and threshold models with a smooth transition. An extensive evaluation on French data shows that modelling each season independently leads to better results. Among nonlinear models, MS models designed to capture the sudden and fast-reverting spikes in the price dynamics yield more accurate forecasts. Finally, pooling forecasts give more reliable results.

Keywords: Forecasting; electricity spot prices; seasonality; regime-switching; combinations (search for similar items in EconPapers)
Date: 2016
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01276807
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Published in Applied Economics, Taylor & Francis (Routledge), 2016, 48 (5), ⟨10.1080/00036846.2015.1080801⟩

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Journal Article: Forecasting electricity spot prices using time-series models with a double temporal segmentation (2016) Downloads
Working Paper: Forecasting electricity spot prices using time-series models with a double temporal segmentation (2014) Downloads
Working Paper: Forecasting electricity spot prices using time-series models with a double temporal segmentation (2014) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01276807

DOI: 10.1080/00036846.2015.1080801

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