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A comparison of different univariate forecasting models forSpot Electricity Price in India

Author

Listed:
  • G P Girish

    (Department of Finance, IBS Hyderabad, IFHE University, India)

  • Aviral Kumar Tiwari

    (Department of Economics, IBS Hyderabad, IFHE University, India)

Abstract

In this study we compare the forecasting performance of ARFIMA model, Auto-ARIMA model, Taylor's double seasonal Holt-Winter's model, Exponential smoothing state space model and theta forecast for spot electricity price of Indian electricity market which has never been done before. The forecasting performance results of different univariate forecasting models provide crucial insights about Indian spot electricity price behaviour and help electricity producers and consumers of Indian electricity market to forecast prices more accurately.

Suggested Citation

  • G P Girish & Aviral Kumar Tiwari, 2016. "A comparison of different univariate forecasting models forSpot Electricity Price in India," Economics Bulletin, AccessEcon, vol. 36(2), pages 1039-1057.
    • Handle: RePEc:ebl:ecbull:eb-15-00633
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    References listed on IDEAS

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    More about this item

    Keywords

    Spot Electricity Price; Forecasting; India; Exponential smoothing; Holt–Winters; Box–Jenkins.;
    All these keywords.

    JEL classification:

    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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    Access and download statistics

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