A GARCH Forecasting Model to Predict Day-Ahead Electricity Prices
Top Cited Papers
- 2 May 2005
- journal article
- research article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Power Systems
- Vol. 20 (2), 867-874
- https://doi.org/10.1109/tpwrs.2005.846044
Abstract
Price forecasting is becoming increasingly relevant to producers and consumers in the new competitive electric power markets. Both for spot markets and long-term contracts, price forecasts are necessary to develop bidding strategies or negotiation skills in order to maximize profits. This paper provides an approach to predict next-day electricity prices based on the Generalized Autoregressive Conditional Heteroskedastic (GARCH) methodology that is already being used to analyze time series data in general. A detailed explanation of GARCH models is presented and empirical results from the mainland Spain and California deregulated electricity-markets are discussed.Keywords
This publication has 15 references indexed in Scilit:
- Simulating oligopolistic pool-based electricity markets: a multiperiod approachIEEE Transactions on Power Systems, 2003
- ARIMA models to predict next-day electricity pricesIEEE Transactions on Power Systems, 2003
- On the computation of the probability distribution of the spot market price in a deregulated electricity marketPublished by Institute of Electrical and Electronics Engineers (IEEE) ,2002
- Forecasting next-day electricity prices by time series modelsIEEE Transactions on Power Systems, 2002
- Market power and price volatility in restructured markets for electricityDecision Support Systems, 2001
- Volatility in the California power market: source, methodology and recommendationsIEE Proceedings - Generation, Transmission and Distribution, 2001
- Generation scheduling in a deregulated system. The Norwegian caseIEEE Transactions on Power Systems, 1999
- Electricity price short-term forecasting using artificial neural networksIEEE Transactions on Power Systems, 1999
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom InflationEconometrica, 1982