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Forecasting Electricity Pricing in Central and Eastern Europe
Křížová, Kristýna ; Krištoufek, Ladislav (advisor) ; Baruník, Jozef (referee)
Within forecasting electricity pricing, we analyse whether adding various vari- ables improves the predictions, and if shorter time intervals between observa- tions enhance accuracy of the forecasting. Next, we focus on proper selection of lagged observations, which has not been thoroughly covered in the past litera- ture. In addition, many papers studied electricity prices in larger markets (e.g. United States, Australia, Nord Pool, etc.) on datasets limited in scope, with 2-3 years timespan. To address these gaps in literature, we obtain one daily and one hourly dataset, both spanning 6 years (January 1, 2015 - December 31, 2020), from four Central and Eastern European countries - the Czech Repub- lic, the Slovak Republic, Hungary, and Romania. These contain information on the electricity prices, and information on our observed added variables - temperature and cross-border electricity flows. For the forecasting, we use two different methods - Autoregression (AR) and Seemingly Unrelated Regression (SUR). The thorough selection of lagged observations, which we accustom to the closing time of the auction-based electricity market system, serves further studies as a guidance on how to avoid possible errors and inconsistencies in their predictions. In our analyses, both AR and SUR models show that...
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