This paper aims to study the forecasting capabilities of several models under the Markov regime-switching (MRS) and the extreme value theory (EVT) frameworks applied to daily electricity prices in the New Zealand electricity market. The MRS models in this study include up to five regimes, with...

In this study, we present an empirical comparison of statistical models and machine learning models for daily electricity price forecasting in the New Zealand electricity market. We demonstrate the effectiveness of GARCH and SV models and their t-distribution variants when paired with feature...