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Forecasting Italian electricity zonal prices with exogenous variables

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  • Gianfreda, Angelica
  • Grossi, Luigi

Abstract

In the last few years we have observed the deregulation in electricity markets and an increasing interest in price dynamics has been developed especially to consider all stylized facts shown by spot prices. Only few papers have considered the Italian Electricity Spot market since it has been deregulated recently. Therefore, this contribution is an investigation with emphasis on price dynamics accounting for technologies, market concentration, congestions and volumes. We aim to understand how these four variables affect zonal prices since these ones combine to bring about the single national price (prezzo unico d'acquisto, PUN). Hence, understanding its features is important for drawing policy indications referred to production planning and selection of generation sources, pricing and risk-hedging problems, monitoring of market power positions and finally to motivate investment strategies in new power plants and grid interconnections. Implementing Reg-ARFIMA–GARCH models, we assess the forecasting performance of selected models showing that they perform better when these factors are considered.

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Bibliographic Info

Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 34 (2012)
Issue (Month): 6 ()
Pages: 2228-2239

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Handle: RePEc:eee:eneeco:v:34:y:2012:i:6:p:2228-2239

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Web page: http://www.elsevier.com/locate/eneco

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Keywords: Electricity prices; Production technologies; Market power; Congestions; Fractional integration; Forecasting;

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Cited by:
  1. Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2012. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," HSC Research Reports HSC/12/06, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Mulder, Machiel & Schoonbeek, Lambert, 2013. "Decomposing changes in competition in the Dutch electricity market through the residual supply index," Energy Economics, Elsevier, vol. 39(C), pages 100-107.

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