In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. In particular we calibrate AR/ARX ("X" stands for exogenous/fundamental variable—system load in our study), AR/ARX-GARCH, TAR/TARX and Markov regime-switching models to...

Rainer Göb, Kristina Lurz and Antonio Pievatolo (hereinafter GLP) address a very important issue in power systems management—load forecasting. Generally, load forecasting is concerned with the accurate prediction of the electric load (or demand) for specific geographical locations and over...