Performance of Electricity Price Forecasting Models: Evidence from Turkey


Uğurlu U. , Taş O. , GÜNDÜZ U.

EMERGING MARKETS FINANCE AND TRADE, cilt.54, ss.1720-1739, 2018 (SSCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 54 Konu: 8
  • Basım Tarihi: 2018
  • Doi Numarası: 10.1080/1540496x.2017.1419955
  • Dergi Adı: EMERGING MARKETS FINANCE AND TRADE
  • Sayfa Sayıları: ss.1720-1739

Özet

In this article, hourly prices of the Turkish Day Ahead Electricity Market are forecasted by using various univariate electricity price models, then the out-of-sample forecasts are compared with each other and the benchmarks. This article has two main contributions to the literature: Firstly, it provides a factorial Analysis of Variance (ANOVA) as a pre-whitening method of the price series and allows one to work with the stationary residuals series. Secondly, it is the first work, which compares the performances of all important statistical univariate forecast models in the Turkish electricity market. Results indicate the importance of the factorial ANOVA application and the SARIMA model's success under the given conditions.