Work detail

Electricity market: Analysis and prediction of volatility

Author: Bc. Vladimír Kunc
Year: 2015 - summer
Leaders: prof. PhDr. Ladislav Krištoufek Ph.D.
Work type: Bachelors
Language: English
Pages: 110
Awards and prizes:
Abstract: The last two decades can be characterized by restructuring of energy industry and
the creation of new, competitive energy markets, where accurate forecasts of electricity
prices and price volatility are valuable both to consumers and producers. The
aim of this work is to analyse several models for prediction of the price volatility
of electricity on the Czech Electricity Day-ahead market on price data provided by
OTE, a.s. for years 2009-2014. This work compares 144 different models’ configurations
for three distinct classes of models — autoregressive models, GARCH models,
and artificial neural network models. This work provides comparison based on five
different criteria, each describing the model in different way




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