1. A GARCH forecasting model to predict day-ahead electricity prices
- Author
-
Garcia, Reinaldo C., Contreras, Javier, van Akkeren, Marco, and Garcia, Joao Batista C.
- Subjects
Pricing -- Research ,Electricity -- Prices and rates ,Product price ,Company pricing policy ,Business ,Electronics ,Electronics and electrical industries - Abstract
Price forecasting is becoming increasingly relevant to producers and consumers in the new competitive electric power markets. Both for spot markets and long-term contracts, price forecasts are necessary to develop bidding strategies or negotiation skills in order to maximize profits. This paper provides an approach to predict next-day electricity prices based on the Generalized Autoregressive Conditional Heteroskedastic (GARCH) methodology that is already being used to analyze time series data in general. A detailed explanation of GARCH models is presented and empirical results from the mainland Spain and California deregulated electricity-markets are discussed. Index Terms--Electricity markets, forecasting, GARCH models, time series analysis, volatility.
- Published
- 2005