Forecasting electricity spot market prices with a k-factor GIGARCH process

Diongue, Abdou Kâ; Guégan, Dominique; Vignal, Bertrand

doi:10.1016/j.apenergy.2008.07.005

Cited by 82 publications

(32 citation statements)

References 11 publications

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“…3 For more information on electricity demand forecasts in Turkey, see [13]. 4 5.5 Eurocent equals to about 11.5 YKr at current exchange rates. Tables Table 1. Current and expected Turkish wholesale electricity market structure : 8 Table 2.…”

Section: Resultsmentioning

confidence: 99%

A paper on the unsettled question of Turkish electricity market: Balancing and settlement system (Part I)

Erdoğdu

2010

Applied Energy

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Turkish Electricity Market Law (EML) came into force in 2001 aiming at establishing a financially strong, stable, transparent and competitive electricity market based on bilateral contracts. Also, a balancing and settlement system (BSS) was put into practice in November 2004 to create a market where uncontracted generation can be traded, and actual implementation of the BSS started on August, 1st 2006 following a 21-month virtual implementation period. However, BSS has always been criticized from its beginning as transferring excessive profits to private generation companies. The present paper analyzes the implementation of BSS and argues that current BSS not only undermines the healthy development of the electricity market in Turkey but also prevents power investments due to uncertainties it created. It concludes that since the inconsistency between the objectives of EML and results of BSS in practice is obvious, Turkish policy

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Section: Resultsmentioning

confidence: 99%

A paper on the unsettled question of Turkish electricity market: Balancing and settlement system (Part I)

Erdoğdu

2010

Applied Energy

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“…Unlike other commodity prices, most electricity spot prices exhibit trend, strong periodicity, intra-day and inter-day serial correlations, heavy tails, skewness and so on; see Panagiotelis and Smith (2008); Diongue et al (2009) for some empirical evidence. We consider the vector of the log spot prices at hourly intervals during a day as the response vector with q = 24.…”

Section: Real Data Analysismentioning

confidence: 99%

Regularized multivariate regression models with skew-t error distributions

Chen

Pourahmadi

Maadooliat

2014

Journal of Statistical Planning and Inference

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We consider regularization of the parameters in multivariate linear regression models with the errors having a multivariate skew-t distribution. An iterative penalized likelihood procedure is proposed for constructing sparse estimators of both the regression coefficient and inverse scale matrices simultaneously. The sparsity is introduced through penalizing the negative log-likelihood by adding L 1 -penalties on the entries of the two matrices. Taking advantage of the hierarchical representation of skew-t distributions, and using the expectation conditional maximization (ECM) algorithm, we reduce the problem to penalized normal likelihood and develop a procedure to minimize the ensuing objective function. Using a simulation study we assess the performance of the method, and the methodology is illustrated using a real data set with a 24-dimensional response vector.

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“…Diongue and Guégan, (2004) developed the parameter estimation of the k-factor GIGARCH process. Here is provided the expression of the forecasts using the k-factor GIGARCH process and given their properties.…”

Section: Volatility Modelsmentioning

confidence: 99%

Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal

2008

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SummaryIn the last decades a liberalization of the electric market has started; prices are now determined on the basis of contracts on regular markets and their behaviour is mainly driven by usual supply and demand forces. A large body of literature has been developed in order to analyze and forecast their evolution: it includes works with different aims and methodologies depending on the temporal horizon being studied. In this survey we depict the actual state of the art focusing only on the recent papers oriented to the determination of trends in electricity spot prices and to the forecast of these prices in the short run. Structural methods of analysis, which result appropriate for the determination of forward and future values are left behind. Studies have been divided into three broad classes: Autoregressive models, Regime switching models, Volatility models. Six fundamental points arise: the peculiarities of electricity market, the complex statistical properties of prices, the lack of economic foundations of statistical models used for price analysis, the primacy of uniequational approaches, the crucial role played by demand and supply in prices determination, the lack of clearcut evidence in favour of a specific framework of analysis. To take into account the previous stylized issues, we propose the adoption of a methodological framework not yet used to model and forecast electricity prices: a time varying parameters Dynamic Factor Model (DFM). Such an eclectic approach, introduced in the late '70s for macroeconomic analysis, enables the identification of the unobservable dynamics of demand and supply driving electricity prices, the coexistence of short term and long term determinants, the creation of forecasts on future trends. Moreover, we have the possibility of simulating the impact that mismatches between demand and supply have over the price variable. This way it is possible to evaluate whether congestions in the network (eventually leading black out phenomena) trigger price reactions that can be considered as warning mechanisms.

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Forecasting electricity spot market prices with a k-factor GIGARCH process

Cited by 82 publications

References 11 publications

A paper on the unsettled question of Turkish electricity market: Balancing and settlement system (Part I)

A paper on the unsettled question of Turkish electricity market: Balancing and settlement system (Part I)

Regularized multivariate regression models with skew-t error distributions

Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal

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