Modelling and forecasting wind speed intensity for weather risk management
AbstractThe main interest of the wind speed modelling is on the short-term forecast of wind speed intensity and direction. Recently, its relationship with electricity production by wind farms has been studied. In fact, electricity producers are interested in long-range forecasts and simulation of wind speed for two main reasons: to evaluate the profitability of building a wind farm in a given location, and to offset the risks associated with the variability of wind speed for an already operating wind farm. Three approaches that are capable of forecasting and simulating the long run evolution of wind speed intensity are compared (wind direction is not a concern, given that the recent turbines can rotate to follow wind direction). The evaluated models are: the Auto Regressive Gamma process, the Gamma Auto Regressive process, and the ARFIMA–FIGARCH model. Both in-sample and out-of-sample comparisons are provided, as well as some examples for the pricing of wind speed derivatives using a model-based Monte Carlo simulation approach.
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Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 56 (2012)
Issue (Month): 11 ()
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Web page: http://www.elsevier.com/locate/csda
Gamma Auto Regressive; Auto Regressive Gamma; ARFIMA–FIGARCH; Wind speed modelling; Wind speed simulation; Weather risk management;
Other versions of this item:
- Massimiliano Caporin & Juliusz Pres, 2010. "Modelling and forecasting wind speed intensity for weather risk management," "Marco Fanno" Working Papers 0106, Dipartimento di Scienze Economiche "Marco Fanno".
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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