Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/238569 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
ADBI Working Paper Series No. 1212
Verlag: 
Asian Development Bank Institute (ADBI), Tokyo
Zusammenfassung: 
Short-term electricity price forecasting has received considerable attention in recent years. Despite this increased interest, the literature lacks a concrete consensus on the most suitable forecasting approach. This study reports an extensive empirical analysis that we conducted to evaluate the short-term price forecasting dynamics of different regions in the Swedish electricity market (SEM). We utilized several forecasting approaches ranging from standard conditional volatility models to wavelet-based forecasting. In addition, we performed out-of-sample forecasting and back-testing, and we evaluated the performance of these models. Our empirical analysis indicates that an ARMA-GARCH framework with the Student's t-distribution significantly outperforms other frameworks. We only performed wavelet-based forecasting based on the MAPE. The results of the robust forecasting methods are capable of displaying the importance of proper forecasting process design, policy implications for market efficiency, and predictability in the SEM.
Schlagwörter: 
forecasting
Swedish electricity market
GARCH modeling
multi-scale analysis
JEL: 
C53
G17
Creative-Commons-Lizenz: 
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Dokumentart: 
Working Paper

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