Electricity price forecasting — ARIMA model approach

Electricity price forecasting is becoming more important in everyday business of power utilities. Good forecasting models can increase effectiveness of producers and buyers playing roles in electricity market. Price is also a very important element in investment planning process. This paper presents a forecasting technique to model day-ahead spot price using well known ARIMA model to analyze and forecast time series. The model is applied to time series consisting of day-ahead electricity prices from EPEX power exchange.