Abstract

https://ssrn.com/abstract=2877697
 


 



Forecasting of the Electricity Price on the Day-Ahead Electricity Market in Russia


Maksimov Andrei Gennadievich


National Research University Higher School of Economics

Daria Shchurupay


National Research University Higher School of Economics, Students

November 3, 2016


Abstract:     
After analyzing the characteristics and pricing models on the Russian wholesale electricity market, some important features for econometric modeling are introduced. This paper suggests econometric forecasting models developed to predict daily and hourly electricity prices on the day-ahead market for two price zones in Russia: European and Siberian ones. A set of 24 models, which are similar in nature but different in included regressors, are introduced. On the basis of the actual database for 2014 different modifications of price formation are offered and analyzed with the help of the E-views econometric package. Dynamic forecasts on various distances (day, week, and month) are conducted and the most suitable models from the point of minimizing the norms of the vectors residuals are chosen. Constructed ARMA models have high predictive power and are able to reflect the price trend on the base of exogenous factors and the previous price values.

Number of Pages in PDF File: 9

Keywords: wholesale electricity market, forecasting models, econometric modeling

JEL Classification: C22


Open PDF in Browser Download This Paper

Date posted: December 16, 2016  

Suggested Citation

Gennadievich, Maksimov Andrei and Shchurupay, Daria, Forecasting of the Electricity Price on the Day-Ahead Electricity Market in Russia (November 3, 2016). Available at SSRN: https://ssrn.com/abstract=2877697

Contact Information

Maksimov Andrei Gennadievich
National Research University Higher School of Economics ( email )
136, Rodionova street
25/12, Bolshaya pecherskaya street
Nizhniy Novgorod, 603155
Russia
Daria Zeryukaeva (Contact Author)
National Research University Higher School of Economics, Students ( email )
Russia
Feedback to SSRN


Paper statistics
Abstract Views: 46
Downloads: 17