Akyıldırım, Erdinç akdeniz university - department of banking and finance, Turkey , Göncü, Ahmet xi an jiaotong liverpool university - department of mathematical sciences, China , Altarovici, Albert ETH Zurich - department of mathematics, Switzerland

Modeling long-term seasonality and spikes of the spot electricity prices in Turkey

37374

Stochastic models of electricity spot prices depend on price spikes and long-term seasonality. Therefore it is crucial to determine suitable methods for the identification of price spikes and the modeling of long-term seasonal components (LTSC). Following recent studies (Janczura and Weron,2010; Janczura et al.,2013),we compare the proportion of observations identified as outliers for five different outlier detection methods and three approaches to long-term seasonality modeling. After removing the effects of outliers,we compare the out-of-sample forecasting performance for three categories of long-term seasonality models: dummies,Fourier series,and wavelet-based methods. We consider various combinations of each approach and perform a comprehensive backtesting comparison at different forecasting horizons for the recently liberalized Turkish electricity market.

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Electricity price spikes , Long , term seasonality modeling , Turkish electricity prices , Wavelets

Bogazici Journal

18