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Efficient Modeling and Forecasting of the Electricity Spot Price

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  • Florian Ziel
  • Rick Steinert
  • Sven Husmann

Abstract

The increasing importance of renewable energy, especially solar and wind power, has led to new forces in the formation of electricity prices. Hence, this paper introduces an econometric model for the hourly time series of electricity prices of the European Power Exchange (EPEX) which incorporates specific features like renewable energy. The model consists of several sophisticated and established approaches and can be regarded as a periodic VAR-TARCH with wind power, solar power, and load as influences on the time series. It is able to map the distinct and well-known features of electricity prices in Germany. An efficient iteratively reweighted lasso approach is used for the estimation. Moreover, it is shown that several existing models are outperformed by the procedure developed in this paper.

Suggested Citation

  • Florian Ziel & Rick Steinert & Sven Husmann, 2014. "Efficient Modeling and Forecasting of the Electricity Spot Price," Papers 1402.7027, arXiv.org, revised Oct 2014.
    • Handle: RePEc:arx:papers:1402.7027
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    References listed on IDEAS

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    Cited by:

    1. Ambach, Daniel & Croonenbroeck, Carsten, 2014. "Obtaining superior wind power predictions from a periodic and heteroscedastic Wind Power Prediction Tool," Discussion Papers 361, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.

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