FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS

In this paper we study simple time series models and assess their forecasting performance. In particular we calibrate ARMA and ARMAX (where the exogenous variable is the system load) processes. Models are tested on a time series of California power market system prices and loads from the period proceeding and including the market crash.

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Year of publication:	2005-04-06
Authors:	Weron, Rafal ; Misiorek, Adam
Institutions:	EconWPA
Subject:	Electricity \| price forecasting \| ARMA model \| seasonal component

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Extent:	application/pdf
Series:	Econometrics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 8. To appear in ”The European Electricity Market EEM-05”, Proceedings Volume 8 pages
Classification:	C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; L94 - Electric Utilities ; Q40 - Energy. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005556334