We propose a novel regime-switching approach for modeling electricity spot prices that takes into account the relation between spot and forward prices. Additionally the model is able to reproduce spikes and negative prices. Market prices are based on an observed forward curve. We distinguish between a base regime and an upper as well as a lower spike regime. The model parameters are calibrated using historical hourly price forward curves for EEX Phelix and the dynamics of hourly spot prices. The model is compared with common time series approaches like ARMA and GARCH.
Language
English
Keywords
Electricity prices
hourly price-forward curves
estimation
simulation
forecasting
HSG Classification
contribution to scientific community
Refereed
No
Event Title
20th Conference of the International Federation of Operational Research Societies