Forecasting Hourly Spot Prices in Indian Electricity Market

Q3 Economics, Econometrics and Finance

Studies in Microeconomics Pub Date : 2022-07-08 DOI:10.1177/23210222221108019

Paramita Mukherjee, D. Coondoo, P. Lahiri

{"title":"Forecasting Hourly Spot Prices in Indian Electricity Market","authors":"Paramita Mukherjee, D. Coondoo, P. Lahiri","doi":"10.1177/23210222221108019","DOIUrl":null,"url":null,"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","PeriodicalId":37410,"journal":{"name":"Studies in Microeconomics","volume":" ","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2022-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Studies in Microeconomics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1177/23210222221108019","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}

引用次数: 1

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

查看原文本刊更多论文

印度电力市场每小时现货价格预测

在本文中，我们提出了一项关于预测印度每小时电力现货价格的研究。电价预测因其特殊性而具有挑战性。基于几年的每小时数据，估计了ARMAX模型，用于预测各个地区。除了ARMA，还包括工作日、节假日和节日的日内、日间和小时变化以及季节性。还研究了静态和动态预测的组合。结果表明，周日和节假日的价格与平日有很大差异；此外，观察到冬季和夏季价格之间存在明显的地区差异。南部地区的价格行为与其他地区不同。拟合的模型在预测长达五天的小时价格范围方面表现良好。安装的ARMAX模型具有易于实现的简单结构。这些预测为政策制定者和市场参与者提供了有价值的见解，因为它们结合了印度电力市场的几个特征，包括需求季节性的各个方面。JEL分类：C53、Q47、C51

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Studies in Microeconomics Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

1.40

自引率

0.00%

发文量

期刊介绍： Studies in Microeconomics seeks high quality theoretical as well as applied (or empirical) research in all areas of microeconomics (broadly defined to include other avenues of decision science such as psychology, political science and organizational behavior). In particular, we encourage submissions in new areas of Microeconomics such as in the fields of Experimental economics and Behavioral Economics. All manuscripts will be subjected to a peer-review process. The intended audience of the journal are professional economists and young researchers with an interest and expertise in microeconomics and above. In addition to full-length articles MIC is interested in publishing and promoting shorter refereed articles (letters and notes) that are pertinent to the specialist in the field of Microeconomics (broadly defined). MIC will periodically publish special issues with themes of particular interest, including articles solicited from leading scholars as well as authoritative survey articles and meta-analysis on the themed topic. We will also publish book reviews related to microeconomics, and MIC encourages publishing articles from policy practitioners dealing with microeconomic issues that have policy relevance under the section Policy Analysis and Debate.