Title :
Analysis of French electric market using heteroscedastic models of time series
Author :
López, Damián ; Juan, Jesus
Author_Institution :
Escuela Tec. Super. de Ing. Ind., Univ. Politec. de Madrid, Madrid
Abstract :
A dynamic long memory regression model with autoregressive errors is considered for the analysis of hourly electricity spot prices. The method provides reliable and accurate forecasts of hourly prices in the electricity market of France, Powernext day-ahead. The presence of significant autocorrelation in squared residual recommends to fit a conditional heteroscedastic time series model. These models together have appealing economic and statistical implications.
Keywords :
autoregressive processes; power markets; regression analysis; Powernext Day-Ahead; autoregressive errors; dynamic long memory regression model; economic implications; electricity spot prices; french electric market; heteroscedastic models; statistical implications; time series; Autocorrelation; Economic forecasting; Electricity supply industry; Energy management; Forward contracts; Power generation economics; Production; Risk management; Supply and demand; Time series analysis; ARCH; ARIMA; Electricity prices; GARCH; market modelling;
Conference_Titel :
Electricity Market, 2008. EEM 2008. 5th International Conference on European
Conference_Location :
Lisboa
Print_ISBN :
978-1-4244-1743-8
Electronic_ISBN :
978-1-4244-1744-5
DOI :
10.1109/EEM.2008.4579014
