Bisaglia, Luisa - Bordignon, Silvano - Marzovilli, Marina (2010) Modelling and forecasting hourly spot electricity prices: some preliminary results. [Working Paper] WORKING PAPER SERIES, 11/2010 . , PADOVA (Inedito)
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This paper focuses on the day-ahead forecasting performance of some models for hourly electricity spot prices. In particular, our rst aim is to investigate the forecasting performance of the model proposed by Huisman et al. (2007) to model hourly power prices in a panel framework. Secondly, we want to extend the model specifying a GARCH structure to take into account a possible conditional heteroskedasticity. A further extension concerns the introduction of cross-lagged correlations into the model through a VAR-type specication. Finally a non linear Markov switching structure is considered to take into account the occurrence of price spikes. We consider price data from di erent european electricity power markets and obtain forecasts for one-day-ahead up to one-week-ahead horizons. For forecast comparisons we use the RMSPE, the MAE and the Diebold and Mariano test. Results show that some improvement can be obtained by GARCH specication in the one-day ahead prediction exercise and by the VAR and MS models in longer prediction horizons.
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