Expectile regression averaging method for probabilistic forecasting of electricity prices

In this paper we propose a new method for probabilistic forecasting of electricity prices. It is based on averaging point forecasts from different models combined with expectile regression. We show that deriving the predicted distribution in terms of expectiles, might be in some cases advantageous to the commonly used quantiles. We apply the proposed method to the day-ahead electricity prices from the German market and compare its accuracy with the Quantile Regression Averaging method and quantile- as well as expectile-based historical simulation. The obtained results indicate that using the expectile regression improves the accuracy of the probabilistic forecasts of electricity prices, but a variance stabilizing transformation should be applied prior to modelling.