Abstract
Weather information demonstrates predictive power in forecasting electricity prices in day-ahead markets in real time. In particular, next-day weather forecasts improve the forecast accuracy of Scandinavian day-ahead electricity prices in terms of point and density forecasts. This suggests that weather forecasts can price the weather premium on electricity prices. By augmenting with weather forecasts, GARCH-type time-varying volatility models statistically outperform specifications which ignore this information in density forecasting.
| Original language | English |
|---|---|
| Pages (from-to) | 3793-3807 |
| Number of pages | 15 |
| Journal | Computational Statistics & Data Analysis |
| Volume | 56 |
| Issue number | 11 |
| DOIs | |
| Publication status | Published - 2012 |