Econometric modelling and forecasting of intraday electricity prices

Abstract

In the following paper, we analyse the ID 3 -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 ID 3 -Price behaviour.

Estimation and Simulation of the Transaction Arrival Process in Intraday Electricity Markets

“…The index is a volume-weighted price of all transactions taking place in the time interval between 3 hours and 30 minutes before the delivery and it is calculated separately for each intraday product. The importance of the ID 3 -Price has been already noticed by the researchers and is a subject to modelling and forecasting by Uniejewski et al (2019) and Narajewski and Ziel (2019). In the latter paper, one can find a broader description and analysis of the ID 3 -Price and the German Intraday Continuous market.…”

“…Let us note that the models contain not more than 8 parameters, so their estimation should not be a problem. Figure 3 shows an example of fitting the aforementioned models qqq q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q qq qq q q q q qq q q q q q q q q q q q qqq qq q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q qqq q q q q q q q q q q q q q q q q q qqq q q q q q q q q q q q q q q q q q q q q qqq q q q q q q q q q q q q q q q q q q q q q q q q q q q qqq q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q qqq q q q q q q q q q q q q q q qqq q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q qqq q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q qq qq q q q q qq q q q q q q q q q q q qqq qq q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q qqq q q q q q q q q q q q q q q q q q qqq q q q q q q q q q q q q q q q q q q q q qqq q q q q q q q q q q q q q q q q q q q q q q q q q q q qqq q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q qqq q q q q q q q q q q q q q q qqq q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q This approach to the German Intraday Continuous was taken also by other researchers (Narajewski and Ziel, 2019;Uniejewski et al, 2019). Based on Figure 3, we may expect that considering the exponential distribution models, the models with quadratic and exponential intensity functions have similar performance in our problem.…”

“…In both papers, the authors performed a very short-term point EPF of the ID 3 -Price. The outcome of Narajewski and Ziel (2019) is the efficiency of the market, i.e. the volume-weighted price of the transactions in the last 15 minutes before forecasting appears to be the best model for the ID 3 -Price.…”

“…In our study, we aim to forecast the time arrivals during the ID 3 -Price time interval. Naturally, we leave ourselves some time for calculation and decision-making and therefore the considered time frame is [−3.25, −0.5) which is exactly the same as in Narajewski and Ziel (2019).…”

“…This results in a higher concern of the researchers regarding the intraday electricity markets. Uniejewski et al (2019) and Narajewski and Ziel (2019) consider a very short-term point electricity price forecasting (EPF) of the ID 3 -Price index in the German Intraday Continuous market. Andrade et al (2017) and Monteiro et al (2016) conducted research regarding the electricity price forecasting in the Iberian intraday electricity market.…”