电力系统保护与控制Issue(4)：57-63,7.DOI:10.7667/PSPC150775
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
摘要
Abstract
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.关键词
电力市场/电价预测/GARCH族模型Key words
electricity market/electricity forecasting/GARCH models引用本文复制引用
刘丽燕,邹小燕..GARCH族模型在电力市场电价预测中的比较研究[J].电力系统保护与控制,2016,(4):57-63,7.基金项目
国家自然科学基金(71201180)；教育部人文社会科学研究项目(10XJC79006) This work is supported by National Natural Science Foundation of China (No.71201180) （71201180）
