Forecasting the spread between HUPX and EEX DAM prices The case of Hungarian and German wholesale electricity prices

被引：0
|
作者：
Diallo, Alfa [1 ]
Kacsor, Eniko [1 ]
Vancsa, Milan [2 ]
机构：
[1] Corvinus Univ Budapest, REKK, Budapest, Hungary
[2] Corvinus Univ Budapest, Budapest, Hungary
来源：
2018 15TH INTERNATIONAL CONFERENCE ON THE EUROPEAN ENERGY MARKET (EEM) | 2018年
关键词：
Forecasting; Electricity prices; Hungary; Germany; Spread; WAVELET TRANSFORM; ARIMA; MODEL;
D O I：
暂无
中图分类号：
TE [石油、天然气工业]; TK [能源与动力工程];
学科分类号：
0807 ; 0820 ;
摘要：
Electricity price forecasting is a rapidly developing field. Using time series analysis to estimate future wholesale electricity prices is a popular approach, however forecasting price difference between markets is not typical. In this paper the spread between Hungarian (HUPX) and German (EEX) day-ahead power prices are forecasted, using combined ARIMA-GARCH type models. Models are built on 2011-2017 daily average price data, and forecasts are made for Q1 2018. All four applied model types (NGARCH, TGARCH, EGARCH, GJR GARCH) bring similar results, with an RMSE of 4.22-4.75 and a MAE of 2.87-2.99 while the average spread value in the forecasted period is 3.88. All models perform better than the simple ARIMA model.
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