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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/145776
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- Title
- Point and interval forecasting of spot electricity prices : linear vs. non-linear time series models
- Related
- Studies in nonlinear dynamics and econometrics, Vol. 10, No. 3, Article 2, (2006), p.1-34
- Related
- http://www.bepress.com/snde/vol10/iss3/art2/
- Publisher
- Berkeley Electronic Press
- Date
- 2006
- Author/Creator
- Misiorek, Adam
- Author/Creator
- Trueck, Stefan
- Author/Creator
- Weron, Rafal
- Description
- In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. In particular we calibrate AR/ARX ("X" stands for exogenous/fundamental variable -– system load in our study), AR/ARX-GARCH, TAR/TARX and Markov regime-switching models to California Power Exchange (CalPX) system spot prices. We then use them for out-of-sample point and interval forecasting in normal and extremely volatile periods preceding the market crash in winter 2000/2001. We find evidence that (i) non-linear, threshold regime-switching (TAR/TARX) models outperform their linear counterparts, both in point and interval forecasting, and that (ii) an additional GARCH component generally decreases point forecasting efficiency. Interestingly, the former result challenges a number of previously published studies on the failure of non-linear regime-switching models in forecasting.
- Description
- 34 page(s)
- Subject Keyword
- 150200 Banking, Finance and Investment
- Resource Type
- journal article
- Organisation
- Macquarie University. Department of Economics
- Identifier
- http://hdl.handle.net/1959.14/145776
- Identifier
- mq:16145
- Identifier
- ISSN:1558-3708
- Identifier
- mq-rm-2009000300
- Language
- eng
- Reviewed
Macquarie University ResearchOnline
