Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market
AbstractWe show that incorporating the intra-day relationships of electricity prices and trading volumes improves the accuracy of forecasts of daily electricity spot prices. We use half-hourly data from the UK power market to model the spot prices directly (via ARX and Vector ARX models) and indirectly (via factor models). The forecasting performance of five econometric models is evaluated and compared with that of a univariate model, which uses only (aggregated) daily data. The results indicate that there are forecast improvements from incorporating the disaggregated data, especially, when the forecast horizon exceeds one week. Additional improvements are achieved when the correlation structure of the intra-day relationships is explored.
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Bibliographic InfoPaper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/13/01.
Length: 7 pages
Date of creation: 14 Feb 2013
Date of revision:
Electricity spot price; Forecasting; Disaggregated data; Vector autoregression; Factor model; Principal components;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-02 (All new papers)
- NEP-ENE-2013-03-02 (Energy Economics)
- NEP-FOR-2013-03-02 (Forecasting)
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