A time series spot price forecast model for the Nord Pool market

We present three relatively simple spot price forecast models for the Nord Pool market based on historic spot and futures prices including data for inflow and reservoir levels. The models achieve a relatively accurate forecast of the weekly spot prices. The composite regression model achieves a mean absolute percentage error (MAPE) of around 7.5% and under-forecasts the actual spot price by some 1.4 NOK/MW h in the sample period. Out of sample testing achieves a MAPE of around 7.4% including a match of the actual spot price. A myopic model using the previous week's spot price as a predictor for the next week's spot price achieves a MAPE of 7.5% and under-forecasts the actual spot price by some 0.9 EUR/MW h. A futures model using the futures price for next week as a predictor for next week's spot price achieves a MAPE of 5.3% and over-forecast the actual spot price by some 4.3 EUR/MW h. (C) 2014 Elsevier Ltd. All rights reserved.