Abstract
AbstractAfter analyzing the characteristics and pricing models on the Russian wholesale electricity market, some important features for econometric modeling are introduced. This paper suggests econometric forecasting models developed to predict daily and hourly electricity prices on the day-ahead market for two price zones in Russia: European and Siberian ones. A set of 24 models, which are similar in nature but different in included regressors, are introduced. On the basis of the actual database for 2014, different modifications of price formation are offered and analyzed with the help of the Eviews econometric package. Dynamic forecasts on various distances (day, week, and month) are conducted and the most suitable models from the point of minimizing the norms of the vectors residuals are chosen. Constructed ARMA models have high predictive power and are able to reflect the price trend on the base of exogenous factors and the previous price values.
Highlights
The complexity of the wholesale electricity market from both technical and economic points of view and dynamic development of the industry make studying the mechanisms of pricing rather sophisticated
ARMA-models The results indicate that the behavior of electricity prices can be well explained for both Russian price zones by the time series models, where the regressors are previous electricity prices and combinations of external parameters
Summarizing main findings, I want to conclude that the behavior of electricity prices can be well explained for both Russian price zones by the time series models, where the regressors are previous electricity prices and combinations of external parameters
Summary
The complexity of the wholesale electricity market from both technical and economic points of view and dynamic development of the industry make studying the mechanisms of pricing rather sophisticated. Energy is one of the most important consumer commodities, and a major input for almost every industry. The electricity costs are included in any products’ prices as key cost items which reflect the price level of the whole country. Though electricity pricing issue on the wholesale
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