Short-term electricity price forecasting with time series models: A review and evaluation

Rafał Weron and Adam Misiorek

No HSC/06/01, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: We investigate the forecasting power of different time series models for electricity spot prices. The models include different specifications of linear autoregressive time series with heteroscedastic noise and/or additional fundamental variables and non-linear regime-switching TAR-type models. The models are tested on a time series of hourly system prices and loads from the California power market. Data from the period July 5, 1999 - April 2, 2000 are used for calibration and from the period April 3 - December 3, 2000 for out-of-sample testing.

Keywords: Electricity price forecasting; Autoregression (AR) model; Threshold Autoregression (TAR) model; Electricity load (search for similar items in EconPapers)
JEL-codes: C22 C53 Q47 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Published in "Complex Electricity Markets", ed. W. Mielczarski, Chapter 10, 231-254 (2006).

Downloads: (external link)
http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_06_01.pdf Final draft, 2006 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to kkm.im.pwr.edu.pl:443 (Bad file descriptor) (http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_06_01.pdf [301 Moved Permanently]--> https://kkm.im.pwr.edu.pl/~hugo/RePEc/wuu/wpaper/HSC_06_01.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wuu:wpaper:hsc0601

Access Statistics for this paper

More papers in HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology Contact information at EDIRC.
Bibliographic data for series maintained by Rafal Weron ().