Price of electric futures forecasting based on error correction model

摘要

This paper analyses the forecasting price of electric futures at PJM power market. An error correction model is proposed to forecast price of electric futures. The model contains not only the lagged variables such as: futures prices and spot prices but also includes the long relationship between the futures prices and spot prices. Results show that the spot price is an important influence factor in the forecast of price of electric futures. Furthermore, the spot prices and futures prices are cointegrated, namely in the short term the spot prices and futures prices possibly deviate from the equilibrium condition, but in the long run they keep up the equilibrium relation. Finally, the proposed model is successfully applied to the price of electric futures forecast of the PJM power market.