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Spot Electricity Price Forecasting Based on ARIMA-GARCH Model

Yu-Tuo Wang

Open publisher page 2 citations

Abstract

The ARIMA model is established to predict the spot electricity price,and the heteroscedasticity that exists in the ARIMA model is corrected with the GARCH model.In the empirical example,data from the Nordic electricity market are adopted,and comparisons are conducted between the ARIMA model and the Gery GM(1,1) model.The results suggest that the ARIMA-GARCH model has higher accuracy and smaller prediction errors.

About this research paper

What this paper is about

The ARIMA model is established to predict the spot electricity price,and the heteroscedasticity that exists in the ARIMA model is corrected with the GARCH model.In the empirical example,data from the Nordic electricity market are adopted,and comparisons are conducted between the ARIMA model and the Gery GM(1,1) model.The results suggest that the ARIMA-GARCH model has higher accuracy and smaller prediction errors.

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OpenAlex reports 2 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Method / approach

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Available abstract

The ARIMA model is established to predict the spot electricity price,and the heteroscedasticity that exists in the ARIMA model is corrected with the GARCH model.In the empirical example,data from the Nordic electricity market are adopted,and comparisons are conducted between the ARIMA model and the Gery GM(1,1) model.The results suggest that the ARIMA-GARCH model has higher accuracy and smaller prediction errors.

Key concepts: Autoregressive integrated moving average, Autoregressive conditional heteroskedasticity, Heteroscedasticity, Econometrics, Economics, Spot contract, Electricity, Time series

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