基于ADL-GARCH的电价预测模型及其应用

根据电价序列的特点,首先利用动态计量经济理论构建出一般的自回归分布滞后ADL模型,通过检验统计量修正得到ARMA短期电价预测模型,然后对ARMA模型进行GARCH效应检验,最后根据检验结果构建出ARMA-GARCH的短期电价预测模型.利用新模型对美国加州电力市场的电价进行短期预测,结果表明,新模型能够有效地跟踪实际电价变化的趋势,具有较高的预测精度和良好的适应性.

Electricity Price Forecasting Model Based on ADL-GARCH and Its Application

According to the characteristics of price series,this paper firstly set up the general ADL model according to the theory of dynamic econometrics,and obtained the ARMA short-term electricity price estimation model via the outcome of test statistics.Then we carried out the examination of the GARCH effect for the ARMA model,and set up the ARMA-GARCH short-term electricity price forecasting model according to the examination.We also made use of the above-mentioned model to carry out short-term electricity price forecasting for the electric power market of California in the USA,and the outcome showed that this new model could effectively follow the trend of actual electricity price variety,and had higher forecasting accuracy and good adaptability.