Forecasting Power Prices Using a Hybrid Fundamental-Econometric Model

被引:58
作者
Gonzalez, Virginia [1 ]
Contreras, Javier [1 ]
Bunn, Derek W. [2 ]
机构
[1] Univ Castilla La Mancha, E-13071 Ciudad Real, Spain
[2] London Business Sch, London NW1 4SA, England
关键词
APX power exchange; electricity markets; fundamental model; hybrid model; logistic smooth transition regression; margin; price forecasting; volatility;
D O I
10.1109/TPWRS.2011.2167689
中图分类号
TM [电工技术]; TN [电子技术、通信技术];
学科分类号
080906 [电磁信息功能材料与结构]; 082806 [农业信息与电气工程];
摘要
We investigate the performance of two hybrid forecasting models to predict the next-day base load electricity prices on the APX power exchange for Great Britain. Hybrid models have often been advocated as a synthetic method for forecasting, but it is an open question how well they perform at the day-ahead stage. A conventional hybrid approach combines a fundamental model, formulated with supply stack modeling, with an econometric model using data on price drivers. We extend this model to one based upon logistic smooth transition regression, which represents a regime-switching for periods of structural change. Empirical results for out-of-sample forecasting using both hybrid approaches are discussed and compared to non-hybrid time series forecasting methods.
引用
收藏
页码:363 / 372
页数:10
相关论文
共 20 条
[1]
A hybrid system-econometric model for electricity spot prices: Considering spike sensitivity to forced outage distributions [J].
Anderson, C. L. ;
Davison, M. .
IEEE TRANSACTIONS ON POWER SYSTEMS, 2008, 23 (03) :927-937
[2]
[Anonymous], 2006, Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach
[3]
PREDICTION IN DYNAMIC-MODELS WITH TIME-DEPENDENT CONDITIONAL VARIANCES [J].
BAILLIE, RT ;
BOLLERSLEV, T .
JOURNAL OF ECONOMETRICS, 1992, 52 (1-2) :91-113
[4]
Batlle C., 2004, ELECT POWER ENERGY S, V26, P73
[5]
Bunn DerekW., 2004, Modelling prices in competitive electricity markets
[6]
Forecasting loads and prices in competitive power markets [J].
Bunn, DW .
PROCEEDINGS OF THE IEEE, 2000, 88 (02) :163-169
[7]
Burger M., 2008, MANAGING ENERGY RISK, Vfirst
[8]
Analysis of the Nonlinear Response of Electricity Prices to Fundamental and Strategic Factors [J].
Chen, Dipeng ;
Bunn, Derek W. .
IEEE TRANSACTIONS ON POWER SYSTEMS, 2010, 25 (02) :595-606
[9]
A GARCH forecasting model to predict day-ahead electricity prices [J].
Garcia, RC ;
Contreras, J ;
van Akkeren, M ;
Garcia, JBC .
IEEE TRANSACTIONS ON POWER SYSTEMS, 2005, 20 (02) :867-874
[10]
Garcia-Gonzalez J., 2008, P 16 POW SYST COMP C