Abstract
In this paper, we present a study on forecasting hourly electricity spot prices for India. Forecasting electricity prices is challenging for its special characteristics. Based on hourly data covering several years, ARMAX models are estimated for forecasting for individual regions. Along with ARMA, intra-day, inter-day and hourly variations and seasonalities on weekdays, holidays and festive days are incorporated. Combinations of static and dynamic forecasts are also examined. The results indicate that prices for Sundays and holidays differ significantly from weekdays; also, a clear region-specific difference between prices in winter and summer months is observed. Price behaviour in the Southern region is different from other regions. The fitted models perform well for forecasting horizons of hourly prices of up to five days. The fitted ARMAX models have an easily implementable simple structure. Such forecasts provide valuable insights for policymakers and market participants, as they incorporate several features of the Indian electricity market, including various dimensions of seasonality of demand. JEL Classifications: C53, Q47, C51
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