A GARCH forecasting model to predict day-ahead electricity prices

IEEE Transactions on Power Systems

Volumn 20, Issue 2, 2005, Pages 867-874

  Garcia, Reinaldo C ^a   Contreras, Javier ^b   van Akkeren, Marco ^c   Garcia, João Batista C ^d  

^a DIW BERLIN   (Germany)

^b UNIVERSITY OF CASTILLA LA MANCHA   (Spain)

^c PMI Group   (United States)

^d Dexia Bank   (Belgium)

Author keywords

Electricity markets; Forecasting; GARCH models; Time series analysis; Volatility

Indexed keywords

COSTS; DEREGULATION; ELECTRIC UTILITIES; FORECASTING; MARKETING; MATHEMATICAL MODELS; TIME SERIES ANALYSIS;

ELECTRICITY MARKETS; ELECTRICITY PRICES; GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC MODELS; PRICE FORECASTING; PRICE VOLATILITY;

ELECTRIC POWER SYSTEMS;

EID: 18944384327     PISSN: 08858950     EISSN: None     Source Type: Journal    
DOI: 10.1109/TPWRS.2005.846044     Document Type: Article

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