Econometric modelling and forecasting of intraday electricity prices

12/21/2018

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by   Michał Narajewski, et al.

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In the following paper we analyse the ID_3-Price on German Intraday Continuous Electricity Market using an econometric time series model. A multivariate approach is conducted for hourly and quarter-hourly products separately. We estimate the model using lasso and elastic net techniques and perform an out-of-sample very short-term forecasting study. The model's performance is compared with benchmark models and is discussed in detail. Forecasting results provide new insights to the German Intraday Continuous Electricity Market regarding its efficiency and to the ID_3-Price behaviour. The supplementary materials are available online.