DocumentCode :
3471977
Title :
Investigation on the impact of news on volatility in load time series
Author :
Chen, Hao ; Wu, Jie
Author_Institution :
Nanjing Power Supply Co., Nanjing
fYear :
2008
fDate :
6-9 April 2008
Firstpage :
1422
Lastpage :
1429
Abstract :
Load forecasting is of great importance in power system. With the development of the electricity market, the precision of load forecasting is paid more attention to than ever before. The investigation on characteristics of load time series is beneficial. In this paper, by employing the ARCH type models, the asymmetric characteristics of load series are discussed and an investigation on the impact of news on volatility is represented. Several interesting results are documented. The utility of the ARCH-type models with different empirical conditional distributions in describing time-varying volatility are demonstrated and the reverse leverage effect is reaffirmed by the asymmetric parameters estimation. Owing to the news impact curve (NIC) analysis, the responses in volatility of time series to the sign and the magnitude of the idiosyncratic shocks are highlighted. All the results are mutually confirmed in spite of different model specifications. The empirical results also show the satisfying forecasting ability of the models in view of some standard summery statistics. The asymmetric GARCH models may be a valid and promising method for load time series analysis.
Keywords :
load forecasting; power markets; time series; time-varying systems; ARCH-type models; asymmetric GARCH models; asymmetric parameters estimation; electricity market; load forecasting; load time series; news impact curve analysis; power system; reverse leverage effect; time-varying volatility; Economic forecasting; Electric shock; Electrical engineering; Electricity supply industry; Load forecasting; Parameter estimation; Power system modeling; Predictive models; Statistics; Time series analysis; Asymmetric GARCH model; GARCH; Load Forecasting; Reverse Leverage Effect; the News Impact Curve;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Electric Utility Deregulation and Restructuring and Power Technologies, 2008. DRPT 2008. Third International Conference on
Conference_Location :
Nanjuing
Print_ISBN :
978-7-900714-13-8
Electronic_ISBN :
978-7-900714-13-8
Type :
conf
DOI :
10.1109/DRPT.2008.4523629
Filename :
4523629
Link To Document :
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