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Accounting for Extreme Values in GARCH Forecasts of Day-Ahead Electricity Prices

Guirguis Hany S. (Dept. of Economic and Finance, School of Business, Manhattan College)
Felder Frank A. (The State University of New Jersy)

Publication Information

KIEE International Transactions on Power Engineering / v.5A, no.3, 2005 , pp. 300-302 More about this Journal

Abstract

We employ a new technique to account for extreme values when using the generalized autoregressive conditionally heteroskedastic (GARCH) methodology to forecast day-ahead electricity prices in New York City.

Keywords

Electricity markets; forecasting; market clearing prices; GARCH; extreme values; time series analysis;

Citations & Related Records

Reference

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