Spot Electricity Price Forecasting Based on ARIMA-GARCH Model
The ARIMA model is established to predict the spot electricity price, and the heteroscedasticity that exists in the ARIMA model is corrected with the GARCH model. In the empirical example, data from the Nordic electricity market are adopted, and comparisons are conducted between the ARIMA model and the Gery GM （1,1） model. The results suggest that the AR1MA-GARCH model has higher accuracy and smaller prediction errors.
NETL
NSTL
万方数据
维普
