A Time Series Forecast of the Electrical Spot Price : Time series analysis applied to the Nordic power market

In this report six different models for predicting the electrical spot price on the Nordic power exchange, Nord Pool, are developed and compared. They are evaluated against the already existing model as well as the naive test, which is a forecast where the last week’s observations are used as a prognosis for the coming week. The models developed are constructed so that the models for different time resolutions are combined to create a full model. Harmonic regression with a linear trend are used to identify a yearly trend while SARIMAX/SARIMA time series models are used on a daily and hourly basis to reveal dependencies in the data. The model with the best prediction performance is shown to be a SARIMAX model with temperature as exogenous variable on a daily resolution, together with a SARIMA model on an hourly resolution. With an average MAPE of 12.69% and a MAPE2 of 6.90% it has the smallest prediction error out of all of the competing models when doing one week forecasts on the whole year 2009.