Publikationen

Art der Publikation: Arbeitspapier

Forecasting the distributions of hourly electricity spot prices - Accounting for serial correlation patterns and non-normality of price distributions

Autor(en):
Pape, C.; Vogler, A.; Woll, O.; Weber, C.
Nummer des Berichts oder Beitrags:
05/2017
Ort(e):
Essen
Veröffentlichung:
2017
Link zum Volltext:
http://ideas.repec.org/p/dui/wpaper/1705.html
Zitation:
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Kurzfassung

We present a stochastic modelling approach to describe the dynamics of hourly electricity prices. The suggested methodology is a stepwise combination of several mathematical operations to adequately characterize the distribution of electricity spot prices. The basic idea is to analyze day-ahead prices as panel of 24 cross-sectional hours and to identify principal components of hourly prices to account for the cross correlation between hours. Moreover, non-normality of residuals is addressed by performing a normal quantile transformation and specifying appropriate stochastic processes for time series before fit. We highlight the importance of adequate distributional forecasts and present a framework to evaluate the distribution forecast accuracy. The application for German electricity prices 2015 reveal that: (i) An autoregressive specification of the stochastic component delivers the best distribution but not always the best point forecasting results. (ii) Only a complete evaluation of point, interval and density forecast, including formal statistical tests, can ensure a correct model choice.