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Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices

Author

Listed:
  • Jakub Nowotarski
  • Jakub Tomczyk
  • Rafal Weron

Abstract

We present the results of an extensive study on modeling and forecasting of the long-term seasonal component (LTSC) of electricity spot prices. We consider a vast array of models including linear regressions, monthly dummies, sinusoidal decompositions and wavelet smoothers. We find that in terms of forecasting EEX and Nord Pool spot prices up to a year ahead, wavelet-based models significantly outperform all considered piecewise constant and sine-based models. This result challenges the traditional approach to deseasonalize spot electricity prices by fitting monthly dummies or sinusoidal functions.

Suggested Citation

  • Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2013. "Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices," HSC Research Reports HSC/13/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    • Handle: RePEc:wuu:wpaper:hsc1302
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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_13_02.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Jakub Nowotarski, 2013. "Short-term forecasting of electricity spot prices using model averaging (Krótkoterminowe prognozowanie spotowych cen energii elektrycznej z wykorzystaniem uśredniania modeli)," HSC Research Reports HSC/13/17, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    2. Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," Energy Economics, Elsevier, vol. 39(C), pages 13-27.
    3. Janczura, Joanna & Trück, Stefan & Weron, Rafał & Wolff, Rodney C., 2013. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," Energy Economics, Elsevier, vol. 38(C), pages 96-110.
    4. Usman Zafar & Neil Kellard & Dmitri Vinogradov, 2022. "Multistage optimization filter for trend‐based short‐term forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 345-360, March.

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    More about this item

    Keywords

    Electricity spot price; Forecasting; Seasonality; Monthly dummies; Sinusoidal decomposition; Wavelets;
    All these keywords.

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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