• DocumentCode
    2388664
  • Title

    Forecasting prices and volatilities using a hybrid fundamental econometric model

  • Author

    Gonzalez, Virginia ; Contreras, Javier ; Bunn, Derek W.

  • Author_Institution
    E.T.S. de Ing. Ind., Univ. of Castilla-La Mancha, Ciudad Real, Spain
  • fYear
    2010
  • fDate
    25-29 July 2010
  • Firstpage
    1
  • Lastpage
    7
  • Abstract
    This paper presents a forecasting technique to predict next-day electricity spot prices and volatilities. Our technique combines a fundamental model formulated as supply stack modeling, with an econometric analysis based on the GARCH methodology. Empirical results from the wholesale electricity market of Great Britain are discussed.
  • Keywords
    autoregressive processes; economic forecasting; power markets; pricing; GARCH methodology; Great Britain; hybrid fundamental econometric model; next-day electricity spot price prediction; price forecasting technique; supply stack modeling; wholesale electricity market; Electricity Markets; Forecasting; GARCH models; Spot Prices; Volatility;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Power and Energy Society General Meeting, 2010 IEEE
  • Conference_Location
    Minneapolis, MN
  • ISSN
    1944-9925
  • Print_ISBN
    978-1-4244-6549-1
  • Electronic_ISBN
    1944-9925
  • Type

    conf

  • DOI
    10.1109/PES.2010.5590100
  • Filename
    5590100
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2388664