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Forecasting Spot Electricity Prices With Time Series Models

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Author Info
Rafal Weron (Hugo Steinhaus Center)
Adam Misiorek (Institute of Power Systems Automation)

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Abstract

In this paper we study simple time series models and assess their forecasting performance. In particular we calibrate ARMA and ARMAX (where the exogenous variable is the system load) processes. Models are tested on a time series of California power market system prices and loads from the period proceeding and including the market crash.

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File URL: http://129.3.20.41/eps/em/papers/0504/0504001.pdf
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Publisher Info
Paper provided by EconWPA in its series Econometrics with number 0504001.

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Length: 8 pages
Date of creation: 06 Apr 2005
Date of revision:
Handle: RePEc:wpa:wuwpem:0504001

Note: Type of Document - pdf; pages: 8. To appear in ”The European Electricity Market EEM-05”, Proceedings Volume
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Web page: http://129.3.20.41

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Related research
Keywords: Electricity; price forecasting; ARMA model; seasonal component;

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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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. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November. [Downloadable!] (restricted)
  3. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144. [Downloadable!] (restricted)
    Other versions:
  4. Rafal Weron & Adam Misiorek, 2005. "Modeling and forecasting electricity loads: A comparison," Econometrics 0502004, EconWPA. [Downloadable!]
  5. Huisman, Ronald & Mahieu, Ronald, 2003. "Regime jumps in electricity prices," Energy Economics, Elsevier, vol. 25(5), pages 425-434, September. [Downloadable!] (restricted)
    Other versions:
    • Huisman, R. & Mahieu, R.J., 2001. "Regime Jumps in Electricity Prices," Research Paper ERS-2001-48-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  6. Álvaro Escribano & Juan Ignacio Peña & Pablo Villaplana, 2002. "Modeling Electricity Prices: International Evidence," Economics Working Papers we022708, Universidad Carlos III, Departamento de Economía. [Downloadable!]
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Cited by:
(explanations, 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. Christian Huurman & Francesco Ravazzolo & Chen Zhou, 2007. "The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts," Tinbergen Institute Discussion Papers 07-036/4, Tinbergen Institute. [Downloadable!]
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