添加伪变量:一种改进电力市场波动预测的简单方法

IF 5.4 2区 管理学 Q1 BUSINESS, FINANCE Journal of Management Science and Engineering Pub Date : 2023-06-01 DOI:10.1016/j.jmse.2022.09.001
Xu Gong, Boqiang Lin
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引用次数: 0

摘要

本研究使用虚拟变量来衡量星期几效应和结构性中断对波动性的影响。考虑到周内效应、结构中断或两者兼有,我们提出了三类基于现有HAR模型的HAR模型来预测电力波动。模型的估计结果表明,周内效应只提高了HAR模型在日内电力波动预测中的拟合能力,而结构断裂可以提高HAR模型预测日内、周内和月内电力波动的样本内性能。样本外分析表明,周内效应和结构中断都包含用于预测电力波动的额外事前信息,在大多数情况下,用于测量结构中断的伪变量比用于测量周内效应的伪变量包含更多的样本外预测信息。样本外的结果在三种不同的方法中都是稳健的。更重要的是,我们认为,添加虚拟变量来衡量一周中的影响和结构中断,可以提高大多数其他现有HAR模型在电力市场波动预测中的性能。
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Adding dummy variables: A simple approach for improved volatility forecasting in electricity market

This study used dummy variables to measure the influence of day-of-the-week effects and structural breaks on volatility. Considering day-of-the-week effects, structural breaks, or both, we propose three classes of HAR models to forecast electricity volatility based on existing HAR models. The estimation results of the models showed that day-of-the-week effects only improve the fitting ability of HAR models for electricity volatility forecasting at the daily horizon, whereas structural breaks can improve the in-sample performance of HAR models when forecasting electricity volatility at daily, weekly, and monthly horizons. The out-of-sample analysis indicated that both day-of-the-week effects and structural breaks contain additional ex ante information for predicting electricity volatility, and in most cases, dummy variables used to measure structural breaks contain more out-of-sample predictive information than those used to measure day-of-the-week effects. The out-of-sample results were robust across three different methods. More importantly, we argue that adding dummy variables to measure day-of-the-week effects and structural breaks can improve the performance of most other existing HAR models for volatility forecasting in the electricity market.

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来源期刊
Journal of Management Science and Engineering
Journal of Management Science and Engineering Engineering-Engineering (miscellaneous)
CiteScore
9.30
自引率
3.00%
发文量
37
审稿时长
108 days
期刊介绍: The Journal of Engineering and Applied Science (JEAS) is the official journal of the Faculty of Engineering, Cairo University (CUFE), Egypt, established in 1816. The Journal of Engineering and Applied Science publishes fundamental and applied research articles and reviews spanning different areas of engineering disciplines, applications, and interdisciplinary topics.
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