Modelling Spot Prices in Deregulated Wholesale Electricity Markets: A Selected Empirical Review
DOI :
https://doi.org/10.15173/esr.v17i1.518Mots-clés :
Wholesale electricity prices, high-frequency data, electricity price and price volatility forecasting,Résumé
The restructuring and deregulation of global electricity markets has brought about fundamental changes in the behaviour of wholesale spot prices. In turn, this has fostered a small but increasing volume of literature aimed at modelling and providing best-practice forecasts of electricity prices and price volatility, often employing very high-frequency data. The purpose of this paper is to review the various time-series regression modelling approaches as they apply to competitive electricity markets throughout the world. Apart from discussing the strengths and weaknesses of the different approaches and their key findings, the paper also examines the steps faced by researchers as they move through the modelling process. Accordingly, the article provides guidance to those conducting empirical research on electricity prices and serves as an aid for policymakers, managers and practitioners interpreting electricity pricing research outcomes.
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