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Econometric modelling and forecasting of intraday electricity prices

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  • Narajewski, Michał
  • Ziel, Florian

Abstract

In the following paper, we analyse the ID3-Price in the German Intraday Continuous electricity market using an econometric time series model. A multivariate approach is conducted for hourly and quarter-hourly products separately. We estimate the model using lasso and elastic net techniques and perform an out-of-sample, very short-term forecasting study. The model's performance is compared with benchmark models and is discussed in detail. Forecasting results provide new insights to the German Intraday Continuous electricity market regarding its efficiency and to the ID3-Price behaviour.

Suggested Citation

  • Narajewski, Michał & Ziel, Florian, 2020. "Econometric modelling and forecasting of intraday electricity prices," Journal of Commodity Markets, Elsevier, vol. 19(C).
    • Handle: RePEc:eee:jocoma:v:19:y:2020:i:c:s2405851319300728
    DOI: 10.1016/j.jcomm.2019.100107
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    References listed on IDEAS

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