Abstract
This study aims to develop autoregressive integrated moving average (ARIMA) models to predict the solar, wind, spot and options pricing over the next two years, with historical data being used in a univariate manner to understand market behaviour in terms of trends. The assessment is made in the context of the Australian National Electricity Market (ANEM). The ARIMA models predict the future values of the monthly solar, wind, spot and options prices for various Australian states using time-series data from January 2006 to March 2018. The results show increases from 30.46–40.42% for the spot electricity prices and from 14.80–15.13% for the options electricity prices in the ANEM with a two-year horizon. The results further show that wind prices are expected to increase by an average of 5.43%. However, the results also show that the average solar electricity prices will decrease by 67.7%.Keywords: Electricity pricing, ARIMA model, Forecasting.JEL Classifications: C22, E37, Q47DOI: https://doi.org/10.32479/ijeep.7785
Highlights
The majority of countries worldwide are currently experiencing energy shortages, which are severely negatively affecting both their economic growth and their level of social transformation
This study concludes that an autoregressive integrated moving average (ARIMA)‐type model provides the best prediction of electricity prices
This study concludes that an ARIMA model with suitable criteria can be used to predict electricity consumption
Summary
The majority of countries worldwide are currently experiencing energy shortages, which are severely negatively affecting both their economic growth and their level of social transformation. Between 2003 and 2013, the price of household electricity in Australia increased by 72% (Australian Energy Council, 2017). Investor uncertainty with regard to the viability of investments in new means of power generation, as well as recent coal plant closures, have contributed to a power generation mix that is increasingly reliant on intermittent wind and solar energy (Coenen et al, 2018). This has, in turn, led to an increase in both electricity production and electricity pricing
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