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.

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.

• Item Type: MPRA Paper
• Institution: Hugo Steinhaus Center, Wroclaw University of Technology
• Language: English
• Keywords: Wholesale electricity price; Point forecast; Interval forecast; AR model; Threshold AR model
• Subjects: L - Industrial Organization > L9 - Industry Studies: Transportation and Utilities > L94 - Electric Utilities; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4 - Energy > Q40 - General; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

References

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