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Performance of Electricity Price Forecasting Models: Evidence from Turkey

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  • Umut Ugurlu
  • Oktay Tas
  • Umut Gunduz

Abstract

In this article, hourly prices of the Turkish Day Ahead Electricity Market are forecasted by using various univariate electricity price models, then the out-of-sample forecasts are compared with each other and the benchmarks. This article has two main contributions to the literature: Firstly, it provides a factorial Analysis of Variance (ANOVA) as a pre-whitening method of the price series and allows one to work with the stationary residuals series. Secondly, it is the first work, which compares the performances of all important statistical univariate forecast models in the Turkish electricity market. Results indicate the importance of the factorial ANOVA application and the SARIMA model’s success under the given conditions.

Suggested Citation

  • Umut Ugurlu & Oktay Tas & Umut Gunduz, 2018. "Performance of Electricity Price Forecasting Models: Evidence from Turkey," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(8), pages 1720-1739, June.
    • Handle: RePEc:mes:emfitr:v:54:y:2018:i:8:p:1720-1739
    DOI: 10.1080/1540496X.2017.1419955
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    Cited by:

    1. Umut Ugurlu & Ilkay Oksuz & Oktay Tas, 2018. "Electricity Price Forecasting Using Recurrent Neural Networks," Energies, MDPI, vol. 11(5), pages 1-23, May.
    2. Ilkay Oksuz & Umut Ugurlu, 2019. "Neural Network Based Model Comparison for Intraday Electricity Price Forecasting," Energies, MDPI, vol. 12(23), pages 1-14, November.
    3. Umut Ugurlu & Oktay Tas & Aycan Kaya & Ilkay Oksuz, 2018. "The Financial Effect of the Electricity Price Forecasts’ Inaccuracy on a Hydro-Based Generation Company," Energies, MDPI, vol. 11(8), pages 1-19, August.
    4. Ciaran O'Connor & Joseph Collins & Steven Prestwich & Andrea Visentin, 2024. "Electricity Price Forecasting in the Irish Balancing Market," Papers 2402.06714, arXiv.org.

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