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E-Locus - Institutional Repository of the University of Crete - Post-graduate theses

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Identifier 000456648
Title Modeling and Forecasting Electricity Prices in the Nord Pool Market: An Empirical Analysis and Evaluation
Alternative Title Υποδειγματοποίηση και πρόβλεψη των τιμών της ηλεκτρικής ενέργειας στην αγορά της Nord Pool : μια εμπειρική ανάλυση και αξιολόγηση
Author Νικοδήμου, Ειρήνη
Thesis advisor Τζίνιους Μαργαρίτα
Reviewer Τσαγρής Μιχαήλ
Nader Alharbi
Abstract The purpose of the following master thesis is to evaluate and compare the predictions about the electricity price in the Nord Pool market through parametric and non-parametric models. We will deal with electricity price analysis, estimation, and forecasting using time series data of electricity price and also sometimes the estimated consumption for one day ahead from January 1 2019 to December 31 2020. Firstly, we will analyze our time series where the data are daily using the peak hour of each day, which is 10:00 AM. Τhen we will estimate the in-sample electricity price through various models for the period from January 2019 to December 2019. Afterward, we will forecast the out-of-sample short-term electricity price for one day ahead, specifically making predictions for the peak hour for the whole of 2020 using rolling forecasts where the rolling window is one year. Finally, we will use the actual data of 2020 to compare the models' predictive ability using the forecasting errors. Our models are divided into parametric models: Simple linear model (SLR), Autoregressive Integrated Moving Average (ARIMA), Seasonal ARIMA (SARIMA), and Autoregressive/Generalized Autoregressive Conditional Heteroskedasticity (ARCH/GARCH) and a non-parametric model: Singular Spectrum Analysis (SSA).
Language English
Subject Forecasting methods
Nord Pool Electricity Market
Rolling forecasts
SSA
Short-term forecasting
Time series
Ανάλυση του ιδιάζον φάσματος
Βραχυπρόθεσμη πρόβλεψη
Ηλεκτρική ενέργεια στην αγορά Nord Pool
Κυλιόμενη πρόβλεψη
Μεθόδοι πρόβλεψης
Χρονοσειρές
Issue date 2023-02-28
Collection   School/Department--School of Social Sciences--Department of Economics--Post-graduate theses
  Type of Work--Post-graduate theses
Permanent Link https://elocus.lib.uoc.gr//dlib/a/7/e/metadata-dlib-1687775838-34549-14388.tkl Bookmark and Share
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