Analyzing and forecasting electricity price using regime‐switching models: The case of New Zealand market
نویسندگان
چکیده
This paper aims to study the forecasting capabilities of several models under Markov regime-switching (MRS) and extreme value theory (EVT) frameworks applied daily electricity prices in New Zealand market. The MRS this include up five regimes, with time-varying transition probabilities incorporation external market variables. We apply Hamilton's filter maximum likelihood estimation for parameter estimation. EVT peaks-over-threshold (EVT-PoT) framework is also considered, its relationship class discussed. generate out-of-sample forecasts various scenarios. are able replicate real price densities stable conditions. EVT-PoT model performs well despite lack complexity compared framework. attribute usage generalized Pareto distribution extremities.
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ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2023
ISSN: ['0277-6693', '1099-131X']
DOI: https://doi.org/10.1002/for.3004