Modeling long-term seasonality and spikes of the spot electricity prices in Turkey

Erdinç Akyildirim, Ahmet Göncü, Albert Altarovici

Research output: Contribution to journalArticlepeer-review

Abstract

Stochastic models of electricity spot prices depend on price spikes and long-term seasonality. Therefore it is crucial to determine suitable methods for the identification of price spikes and the modeling of long-term seasonal components (LTSC). Following recent studies (Janczura and Weron, 2010; Janczura et al., 2013), we compare the proportion of observations identified as outliers for five different outlier detection methods and three approaches to long-term seasonality modeling. After removing the effects of outliers, we compare the out-of-sample forecasting performance for three categories of long-term seasonality models: dummies, Fourier series, and wavelet-based methods. We consider various combinations of each approach and perform a comprehensive backtesting comparison at different forecasting horizons for the recently liberalized Turkish electricity market.

Original languageEnglish
Pages (from-to)1-18
Number of pages18
JournalBogazici Journal
Volume28
Issue number2
DOIs
Publication statusPublished - 2014

Keywords

  • Electricity price spikes
  • Long-term seasonality modeling
  • Turkish electricity prices
  • Wavelets

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