Advanced Search
MyIDEAS: Login

Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models

Contents:

Author Info

  • Misiorek Adam

    ()
    (Institute of Power Systems Automation)

  • Trueck Stefan

    ()
    (Queensland University of Technology)

  • Weron Rafal

    ()
    (Wroclaw University of Technology)

Abstract

In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. In particular we calibrate AR/ARX (''X'' stands for exogenous/fundamental variable -– system load in our study), AR/ARX-GARCH, TAR/TARX and Markov regime-switching models to California Power Exchange (CalPX) system spot prices. We then use them for out-of-sample point and interval forecasting in normal and extremely volatile periods preceding the market crash in winter 2000/2001. We find evidence that (i) non-linear, threshold regime-switching (TAR/TARX) models outperform their linear counterparts, both in point and interval forecasting, and that (ii) an additional GARCH component generally decreases point forecasting efficiency. Interestingly, the former result challenges a number of previously published studies on the failure of non-linear regime-switching models in forecasting.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.degruyter.com/view/j/snde.2006.10.3/snde.2006.10.3.1362/snde.2006.10.3.1362.xml?format=INT
Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 10 (2006)
Issue (Month): 3 (September)
Pages: 1-36

as in new window
Handle: RePEc:bpj:sndecm:v:10:y:2006:i:3:n:2

Contact details of provider:
Web page: http://www.degruyter.com

Order Information:
Web: http://www.degruyter.com/view/j/snde

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bpj:sndecm:v:10:y:2006:i:3:n:2. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Golla).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.