Forecasting the Spread Between HUPX and EEX DAM Prices the Case of Hungarian and German Wholesale Electricity Prices

Electricity price forecasting is a rapidly developing field. Using time series analysis to estimate future wholesale electricity prices is a popular approach, however forecasting price difference between markets is not typical. In this paper the spread between Hungarian (HUPX) and German (EEX) day-ahead power prices are forecasted, using combined ARIMA-GARCH type models. Models are built on 2011-2017 daily average price data, and forecasts are made for Q1 2018. All four applied model types (NGARCH, TGARCH, EGARCH, GJR GARCH) bring similar results, with an RMSE of 4.22-4.75 and a MAE of 2.87-2.99 while the average spread value in the forecasted period is 3.88. All models perform better than the simple ARIMA model.