environment, electricity price forecasting is an essential task for market participants. However, time series of electricity price … is not able to handle nonlinearity and volatility are existent in time series. Therefore, GARCH models are used to handle … volatility in the in time series forecasting. The proposed method is computed using the daily electricity price data of Iran …

market’s groups time series were estimated. Results prove that almost all of the group’s time series are demonstrating Non …-Gaussian behavior. And the type of time series’ memories whether they are short-term or long-term were identified. Furthermore …, Predictability indices of time series were calculated which is also useful in investor’s decision making. …