Engineering
8 years ago

New model improves electricity price forecasting accuracy in global markets.

Power System Technology
A Generalized Auto-Regressive Conditional Heteroskedasticity Model for System Marginal Price Forecasting Based on Weighted Double Gaussian Distribution
Yiguo Li

Paper Summary

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Researchers developed a model to forecast electricity prices by studying their variation and distribution characteristics. They used a GARCH model based on a weighted double Gaussian distribution to analyze system marginal prices. Testing on real data from electricity markets in the USA and Australia showed that the GARCH model provided accurate forecasts, and the GARCH-WDG model further improved performance.