In this paper we assess the short-term forecasting power of different time series models in the Nord Pool electricity spot market. We evaluate the accuracy of both point and interval predictions; the latter are specifically important for risk management purposes where one is more interested in predicting intervals for future price movements than simply point estimates. We find evidence that non-linear regime-switching models outperform their linear counterparts and that the interval forecasts of all models are overestimated in the relatively non-volatile periods.
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number
1363.
Find related papers by JEL classification: L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
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