Electricity price forecasting based on GARCH model in deregulated market
Electricity price forecasting based on GARCH model in deregulated market
复制标题
放开市场下基于GARCH模型的电价预测
DOI：
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发表时间：
2005
期刊：
影响因子：
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通讯作者：
Li
中科院分区：
文献类型：
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作者：
Zheng Hua;Xie Li;Li
电力市场自产生以来，已在许多国家得到推广。在电力市场的研究领域中，电价问题一直是人们关注的焦点问题之一，它对市场的影响是巨大的。而电价预测作为分析近期市场的基本信息工具，其重要性也日益突出。然而，在这样的竞争环境下，电价的变化是如此的不稳定，甚至出现了价格飙升。因此，电价预测变得更加困难。针对上述问题，本文提出了一种基于广义自回归条件异方差的电价预测模型，该模型适合于波动率建模。首先，将电价视为金融时间序列，分析其波动性，解释其异方差性的存在。在此基础上，提出了基于GARCH模型的电价预测方法，旨在对电价的动态特性进行建模。实例分析验证了该模型的有效性
Since electricity market came into being, it has been generalized in many countries. In the research field of electricity market, electricity price has been one of the focused problems, which has great influence on the market. And then electricity price forecasting as a basic information tool to analyze the near future market, becomes more important than before. However, in such a competitive environment, the changes of electricity price are so volatile, even price spikes happened. So electricity price forecasting becomes more difficult. To solve above problem, we build a novel model to forecast electricity price based on GARCH (that is generalized autoregressive conditional heteroskedasticity), which fits for volatility modeling. First, electricity price is regarded as finance time series and analyze its volatility, which explains the presence of heteroskedasticity. Then price forecasting is proposed with GARCH model, which aims at modeling the dynamic character of price. Case studies testify the validity of the proposed model