Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices

摘要

We present the results of a study on modeling and forecasting of the long-term seasonal component (LTSC) of electricity spot prices. We consider a vast array of models including linear regressions, monthly dummies, sinusoidal decompositions and wavelet smoothers. We find that in terms of forecasting EEX and Nord Pool spot prices up to a year ahead, wavelet-based models significantly outperform all considered piecewise constant and sine-based models. This result challenges the traditional approach to deseasonalize spot electricity prices by fitting monthly dummies or sinusoidal functions. We also find that extending the calibration window up to four years does not improve the results; two- and especially three-year windows lead to better spot price forecasts.