Interval forecasting of spot electricity prices

Adam Misiorek and Rafał Weron

No HSC/06/05, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. However, instead of evaluating point predictions we concentrate on interval forecasts. The latter are specifically important for risk management purposes where one is more interested in predicting intervals for future price movements than simply point estimates. We find evidence that non-linear regime-switching models outperform their linear counterparts and that an additional GARCH component significantly improves interval forecasts of linear time series models.

Keywords: Electricity price forecasting; Interval 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: 11 pages
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (141)

Published in EEM06 Proceedings, 305-312 (2006).

Downloads: (external link)
http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_06_05.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_05.pdf [301 Moved Permanently]--> https://kkm.im.pwr.edu.pl/~hugo/RePEc/wuu/wpaper/HSC_06_05.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:hsc0605

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 ().