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Energy Prices Forecasting Using GLM

Teodoro, Filomena; Marina A. P. Andrade; Eliana Costa e Silva; Ana Borges; Ricardo Covas

A publicar em Recent Studies in Risk Analysis and Statistical Modeling. Teresa Oliveira, Christos Kitsos, Amilcar Oliveiraand Luís M. Grilo (edts). Contributions to Statistics serie, Springer

The work described in this article results from a problem proposed by the company EDP - Energy Solutions Operator, in the framework of ESGI 119th, European Study Group with Industry, during July 2016. Markets for electricity have
two characteristics: the energy is mainly no-storable and volatile prices at exchanges are issues to take into consideration. These two features, between others, contribute significantly to the risk of a planning process. The aim of the problem is the short term forecast of hourly energy prices. In present work, GLM is considered a useful technique to obtain a predictive model where its predictive power is discussed. The results show that in the GLM framework the season of the year, month or winter/summer period revealed significant explanatory variables in the different estimated models. The in-sample forecast is promising, conducting to adequate measures of performance.