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Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market

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Author Info
Weron, Rafal
Misiorek, Adam

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Abstract

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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File URL: http://mpra.ub.uni-muenchen.de/1363/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1363.

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Date of creation: 2006
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Handle: RePEc:pra:mprapa:1363

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Related research
Keywords: Wholesale electricity price; Point forecast; Interval forecast; AR model; Threshold AR model;

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; Dynamic Quantile Regressions

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Conejo, Antonio J. & Contreras, Javier & Espinola, Rosa & Plazas, Miguel A., 2005. "Forecasting electricity prices for a day-ahead pool-based electric energy market," International Journal of Forecasting, Elsevier, vol. 21(3), pages 435-462. [Downloadable!] (restricted)
  2. Peter F. Christoffersen & Francis X. Diebold, 2000. "How Relevant is Volatility Forecasting for Financial Risk Management?," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 12-22, February. [Downloadable!] (restricted)
    Other versions:
  3. Rafal Weron & Adam Misiorek, 2005. "Modeling and forecasting electricity loads: A comparison," Econometrics 0502004, EconWPA. [Downloadable!]
  4. Adam Misiorek & Stefan Trueck & Rafal Weron, 2006. "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 10(3). [Downloadable!]
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