Title :
Forecasting prices and volatilities using a hybrid fundamental econometric model
Author :
Gonzalez, Virginia ; Contreras, Javier ; Bunn, Derek W.
Author_Institution :
E.T.S. de Ing. Ind., Univ. of Castilla-La Mancha, Ciudad Real, Spain
Abstract :
This paper presents a forecasting technique to predict next-day electricity spot prices and volatilities. Our technique combines a fundamental model formulated as supply stack modeling, with an econometric analysis based on the GARCH methodology. Empirical results from the wholesale electricity market of Great Britain are discussed.
Keywords :
autoregressive processes; economic forecasting; power markets; pricing; GARCH methodology; Great Britain; hybrid fundamental econometric model; next-day electricity spot price prediction; price forecasting technique; supply stack modeling; wholesale electricity market; Electricity Markets; Forecasting; GARCH models; Spot Prices; Volatility;
Conference_Titel :
Power and Energy Society General Meeting, 2010 IEEE
Conference_Location :
Minneapolis, MN
Print_ISBN :
978-1-4244-6549-1
Electronic_ISBN :
1944-9925
DOI :
10.1109/PES.2010.5590100
