Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 1720-1739 |
| Number of pages | 20 |
| Journal | Emerging Markets Finance and Trade |
| Volume | 54 |
| Issue number | 8 |
| DOIs | |
| Publication status | Published - 21 Jun 2018 |
Bibliographical note
Publisher Copyright:Copyright © Taylor & Francis Group, LLC.
Funding
In the last period of research, Umut Ugurlu is supported by The Scientific and Technological Research Council of Turkey, 2214/A Programme. This work is supported by Research Fund of the Istanbul Technical University; project number: SDK-2018-41160.
| Funders | Funder number |
|---|---|
| Türkiye Bilimsel ve Teknolojik Araştirma Kurumu | |
| Istanbul Teknik Üniversitesi | SDK-2018-41160 |
Keywords
- electricity price forecasting
- factorial ANOVA
- pre-whitening
- Turkish day-ahead electricity market
- univariate time-series modeling
