Energy prices forecasting using GLM

Abstract

The work described in this article results from a problem proposed by the company EDP - Energy Solutions Operator, in the framework of ESGI 119th, European Study Group with Industry, during July 2016. Markets for electricity have two characteristics: the energy is mainly no-storable and volatile prices at exchanges are issues to take into consideration. These two features, between others, contribute significantly to the risk of a planning process. The aim of the problem is the short term forecast of hourly energy prices. In present work, GLM is considered a useful technique to obtain a predictive model where its predictive power is discussed. The results show that in the GLM framework the season of the year, month or winter/ summer period revealed significant explanatory variables in the different estimated models. The in-sample forecast is promising, conducting to adequate measures of performance.