GARCH族模型在电力市场电价预测中的比较研究

Comparison of GARCH models in electricity price forecasting

电力市场电价的剧烈波动存在巨大的风险。准确的电价预测有助于市场参与者管理风险并达到自身利益的最大化。用ARMA—GARCH族模型对美国PJM电力市场和北欧电力市场的日前小时电价序列进行建模和预测。在模型估计时假设残差分别服从正态分布和学生t分布,进而比较不同模型对不同电力市场日前电价的预测精度。通过比较得出,非对称的GARCH模型预测效果较好。但ARMA—GARCH族模型不适用于波动异常剧烈、电价序列间相关性较弱的电力市场,并以澳大利亚电力市场电价数据为例进行了分析。

Electricity price fluctuates wildly which makes huge risk. Accurately predicting the electricity price will contribute to market participants to manage risk and maximize the profit of participants. This paper applies ARMA--GARCH models to forecast day-ahead electricity prices in PJM electricity market and Nord Pool. With the assumption that residuals obey normal and student＇s t distributions, this paper compares the prediction accuracy of different ARMA-GARCH models, and finds that in most cases the asymmetric GARCH models perform well. But the ARMA-GARCH models can not be applied in the electricity market in which price volatility is extremely huge and the correlation between electricity price serials is weak, such as Australia electricity market.