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Forecasting electricity spot prices using time-series models with a double temporal segmentation

Fouquau, Julien; Bessec, Marie; Méritet, Sophie (2014), Forecasting electricity spot prices using time-series models with a double temporal segmentation, 2nd International Symposium on Energy and Finance Issues (ISEFI-2014), 2014-03, Paris, France

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Type
Communication / Conférence
Date
2014
Conference title
2nd International Symposium on Energy and Finance Issues (ISEFI-2014)
Conference date
2014-03
Conference city
Paris
Conference country
France
Pages
34
Metadata
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Author(s)
Fouquau, Julien

Bessec, Marie

Méritet, Sophie
Abstract (EN)
The French wholesale market is set to expand in the next few years under European pressure and national decisions. In this paper, we assess the forecasting ability of several classes of time series models for electricity wholesale spot prices at a day-ahead horizon in France. Electricity spot prices display a strong seasonal pattern, particularly in France given the high share of electric heating in housing during winter time. To deal with this pattern, we implement a double temporal segmentation of the data. For each trading period and season, we use a large number of specifications based on market fundamentals: linear regressions, markov-switching models, threshold models with a smooth transition. Non-linear models designed to capture the sudden and fast-reverting spikes in the price dynamics yield more accurate forecasts. Modeling each season independently also leads to better results. Finally, pooling forecasts gives more reliable results. Individual models are generally superior but their performance is more unstable across hours and seasons.
Subjects / Keywords
Electricity spot prices; forecasting; regime-switching
JEL
C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
C24 - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
Q43 - Energy and the Macroeconomy

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