Modeling the impact of wind and solar power forecasting errors on intraday electricity prices

We present a regression based model for intraday electricity spot prices to analyze the impact of renewable energy forecasting errors. The proposed time series model is suitable to quantify the impact of wind and solar forecasting errors. Due to the considered threshold specification assymetric dependency structures can be captured as well. Additionally it describes well the autoregressive and seasonal effects of intraday electricity prices such as the relationship to day-ahead electricity prices. The methodology is applied to the German intraday market and includes the dependence of the German/Austrian EPEX and EXAA day-ahead markets. Moreover, we discuss the evidence of time-varying and asymmetric effects of wind and solar power forecasting errors. Our findings show that given the considered modeling framework there is no statistically significant evidence that positive wind or solar forecasting errors have a different impact on intraday electricity prices than negative ones.