33rd International Symposium on Forecasting - ISF2013, Seúl (Corea del Sur). 23-26 junio 2013
Resumen:
This paper proposes a medium-term equilibrium model which aims to explain the variation of electricity price as a function of several explanatory variables. This analysis uses the cointegration methodology to model stationarity relationships while preserving the long-run relationship lost through differencing. We should note that a cointegration relationship expresses a long-run equilibrium, but obviously in the short term can befall imbalances. Using what is known as Error Correction Model (ECM), we can relate short-term behavior of the different variables with their long-term behavior. Furthermore, this multivariate model enables both predict and analyze the dynamic relationships between the used variables. The methodology is comprehensively tested in a case study based on the Spanish market. Examination of the model goodness of fit and interpretability is done by means of statistical and graphical tools. This approach can achieve satisfactory results in capturing the dynamics of the price of electricity and could provide companies with valuable information when facing their decision making and risk-management process.
Palabras clave: Electricity price forecasting, Price Fundamentals, Cointegration, Error Correction Model
Fecha de publicación: 2013-06-23.
Cita:
A. Bello, J. Reneses, Electricity price forecasting in the Spanish market using cointegration techniques, 33rd International Symposium on Forecasting - ISF2013, Seúl (Corea del Sur). 23-26 junio 2013.
