Munich Personal RePEc Archive

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

Weron, Rafal and Misiorek, Adam (2006): Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market. Published in: Proceedings of the Modern Electric Power Systems MEPS'06 International Symposium, September 6-8, 2006, Wrocław, Poland (2006): pp. 34-38.

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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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