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Efficient Modeling and Forecasting of the Electricity Spot Price

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  • Florian Ziel
  • Rick Steinert
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    Abstract

    The increasing importance of renewable energy, especially solar and wind power, has led to new forces in the formation of electricity prices. Hence, this paper introduces an econometric model for the hourly time series of electricity prices of the European Energy Exchange (EEX) which incorporates specific features like renewable energy. The model consists of several sophisticated and established approaches and can be regarded as a periodic VAR-TARCH with wind power, solar power, and load as influences on the time series. It is able to map the distinct and well-known features of electricity prices in Germany. An efficient iteratively reweighted lasso approach is used for the estimation. Moreover, it is shown that several existing models are outperformed by the procedure developed in this paper.

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    File URL: http://arxiv.org/pdf/1402.7027
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1402.7027.

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    Date of creation: Feb 2014
    Date of revision: Sep 2014
    Handle: RePEc:arx:papers:1402.7027

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    Web page: http://arxiv.org/

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