Forecasting electricity prices in the Czech spot market

This master thesis is focused on analysis and forecasting of hourly and daily electricity price on the deregulated Czech daily electricity market. The methods used for estimating and forecasting hourly and daily prices are picked from the ARIMA-GARCH family of models and Neural Networks. For daily price data, the Redundant Haar Wavelet Transform decomposition of the time series is used in combination with ARIMA and Neural Networks models for forecasting. For hourly data, ARIMA and Neural Network models are considered. The forecasting results of daily data indicate that simpler models such as seasonal ARIMA outperform all other methods. Also the wavelet decomposi- tion of the daily series didn't prove useful in enhancing the forecast precision. For hourly data, the Multilayer Perceptron architecture of the neural network outperformed the ARIMA forecast. JEL Classification C20, C22, C45, C53, C65 Keywords Forecasting, Time Series, ARIMA, GARCH, Neural Net- works, Wavelet Transform Author's e-mail krystof.cerny@gmail.com Supervisor's e-mail lebovicm@gmail.com 1