Forecasting Jump Occurrence in Czech Day-Ahead Power Market
|Author:||Mgr. Jana Hortová|
|Year:||2016 - winter|
|Leaders:|| prof. PhDr. Ladislav Krištoufek Ph.D.
|Work type:|| EEI & EP
|Awards and prizes:|
|Abstract:||The very specific features of the spot prices, especially occurrence of severe jumps,
create a spot price risk for retailers who purchase electricity at unregulated highly
volatile prices but resell it to consumers at fixed price. Therefore, it is of high importance
to forecast whether jump is likely to occur during the next hour. However,
to the best of our knowledge, such research has not been devoted to the Czech power
market yet. Therefore, the aim of this thesis is to forecast the jump occurrence in
the Czech day-ahead market. For this purpose we suggest four logit model specifications,
each containing various independent variables (for example, electricity
demand, outside temperature, lagged price and various dummy variables) where the
variable selection is supported by the previous literature and by the characteristic
features of the spot prices. Within the in-sample period we compare the suggested
models based on the values of pseudo-R squared and Bayesian information criterion.
When evaluating the out-of sample performance of suggested models we apply jump
prediction accuracy and confidence, but opposed to the previous literature we suggest
a kind of sensitivity analysis which, to the best of our knowledge, has not be
proposed by any other power research.