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Electricity price forecasting based on GARCH model in deregulated market

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3 Author(s)
Zheng Hua ; Electr. Market Res. Inst., North China Electr. Power Univ., Beijing ; Xie Li ; Zhang Li-zi

Since electricity market came into being, it has been generalized in many countries. In the research field of electricity market, electricity price has been one of the focused problems, which has great influence on the market. And then electricity price forecasting as a basic information tool to analyze the near future market, becomes more important than before. However, in such a competitive environment, the changes of electricity price are so volatile, even price spikes happened. So electricity price forecasting becomes more difficult. To solve above problem, we build a novel model to forecast electricity price based on GARCH (that is generalized autoregressive conditional heteroskedasticity), which fits for volatility modeling. First, electricity price is regarded as finance time series and analyze its volatility, which explains the presence of heteroskedasticity. Then price forecasting is proposed with GARCH model, which aims at modeling the dynamic character of price. Case studies testify the validity of the proposed model

Published in:

Power Engineering Conference, 2005. IPEC 2005. The 7th International

Date of Conference:

Nov. 29 2005-Dec. 2 2005

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