Prediction of daily peak electricity demand in South Africa using volatility forecasting models
AbstractDaily peak electricity demand forecasting in South Africa using a seasonal autoregressive integrated moving average (SARIMA) model, a SARIMA model with generalized autoregressive conditional heteroskedastic (SARIMA-GARCH) errors and a regression-SARIMA-GARCH (Reg-SARIMA-GARCH) model is presented in this paper. The GARCH modeling methodology is introduced to accommodate the possibility of serial correlation in volatility since the daily peak demand data exhibits non-constant mean and variance, and multiple seasonality corresponding to weekly and monthly periodicity. The proposed Reg-SARIMA-GARCH model is designed in such a way that the predictor variables are initially selected using a multivariate adaptive regression splines algorithm. The developed models are used for out of sample prediction of daily peak demand. A comparative analysis is done with a piecewise linear regression model. Results from the study show that the Reg-SARIMA-GARCH model produces better forecast accuracy with a mean absolute percent error (MAPE) of 1.42%.
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Bibliographic InfoArticle provided by Elsevier in its journal Energy Economics.
Volume (Year): 33 (2011)
Issue (Month): 5 (September)
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Web page: http://www.elsevier.com/locate/eneco
Volatility Daily peak demand SARIMA GARCH Piecewise linear regression;
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