Abstract
Energy markets with a high penetration of renewables are more likely to be challenged by price variations or volatility, which is partly due to the stochastic nature of renewable energy. The Danish electricity market (DK1) is a great example of such a market, as 49% of the power production in DK1 is based on wind power, conclusively challenging the electricity spot price forecast for the Danish power market. The energy industry and academia have tried to find the best practices for spot price forecasting in Denmark, by introducing everything from linear models to sophisticated machine-learning approaches. This paper presents a linear model for price forecasting—based on electricity consumption, thermal power production, wind production and previous electricity prices—to estimate long-term electricity prices in electricity markets with a high wind penetration levels, to help utilities and asset owners to develop risk management strategies and for asset valuation.
Highlights
Theinstalled installedcapacity capacityof ofwind windpower powerhas hasincreased increasedininthe theDanishDanishpower powermarket marketover overthe thepast past The10‒15years, years,resulting resultingininan anincreasing increasingshare shareofofrenewable renewablepower powerproduction productioninintheDanishpower power [1]
This paper presents a linear model for price forecasting—based prices—to estimate long-term electricity prices in electricity with and a high wind penetration on electricity consumption, thermal power production, windmarkets production previous electricity levels, to help utilities and asset owners to develop risk management strategies and for asset prices—to estimate long-term electricity prices in electricity markets with a high wind penetration valuation
The model achieves an R-squared of 94.9% and, when forecasting the weekly spot prices, the model achieves a mean absolute percentage error (MAPE) of 7.5% and under-forecasts the spot price by
Summary
Theinstalled installedcapacity capacityof ofwind windpower powerhas hasincreased increasedininthe theDanishDanishpower powermarket marketover overthe thepast past The10‒15years, years,resulting resultingininan anincreasing increasingshare shareofofrenewable renewablepower powerproduction productioninintheDanishpower power [1]. Theinstalled installedcapacity capacityof ofwind windpower powerhas hasincreased increasedininthe theDanish. Danishpower powermarket marketover overthe thepast past The. 10‒15years, years,resulting resultingininan anincreasing increasingshare shareofofrenewable renewablepower powerproduction productionininthe. In. 2005, renewable power production accounted for roughly of the total power market [1]. In 2005, renewable power production accounted for roughly 18% of the total power productionininDenmark, Denmark,and andincreased increasedto tomore morethan than47%. 47%of ofthe thetotal totalpower powerproduction productionin inlate late2019.
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