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A SHORT-TERM ELECTRICITY PRICE FORECASTING ON THE RUSSIAN MAR-KET USING THE SCARX MODELS CLASS
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A SHORT-TERM ELECTRICITY PRICE FORECASTING ON THE RUSSIAN MAR-KET USING THE SCARX MODELS CLASS
Annotation
PII
S042473880003318-8-
DOI
10.31857/S042473880003318-8
Publication type
Article
Status
Published
Authors
Dmitry Afanasyev 
Affiliation: Financial University under the Government of the Russian Federation
Address: ,
Elena Fedorova
Occupation: Professor to the Department of financial management
Affiliation: Financial University under the Government of the Russian Federation
Address: Russian Federation
Edition
Volume 55 Issue 1
Pages
68-84
Abstract

 

  Diebold—Mariano test (DM-test). The historical data of price and planed consumption in the Europe–Ural and Siberia price areas of the Russian electricity exchange were used for the numerical experiment, while testing period is 104 week or 728 days long. The study shows that in the Russian markets SCARX-W model exhibits more accurate forecast compare to SCARX-HP and ARX. The minimal weekly error achieved on Europe–Ural price area is 4,932%, daily error — 4,997%. The same indicators for Siberia price area are 9,144% and 10,051%, correspondingly. The same results are proved by the formal DM-test carried for each hour in trading day. In order to overcome the problem of a priori selection of smoothing parameters, it is proposed to use various methods of forecast combinations.

 

Keywords
electricity price forecasting, seasonal component autoregressive, wavelet-smoothng, Hodrick—Prescott filter, Diebold—Mariano test
Acknowledgment
The presented study was funded by the Russian Foundation for Basic Research (RFBR) within research project No. 16-06-00237 A
Received
14.03.2019
Date of publication
21.03.2019
Number of purchasers
98
Views
2156
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S042473880003318-8-1 Дата внесения правок в статью - 20.12.2018
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