{"title":"添加伪变量:一种改进电力市场波动预测的简单方法","authors":"Xu Gong, Boqiang Lin","doi":"10.1016/j.jmse.2022.09.001","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":36172,"journal":{"name":"Journal of Management Science and Engineering","volume":"8 2","pages":"Pages 191-213"},"PeriodicalIF":5.4000,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Adding dummy variables: A simple approach for improved volatility forecasting in electricity market\",\"authors\":\"Xu Gong, Boqiang Lin\",\"doi\":\"10.1016/j.jmse.2022.09.001\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p></div>\",\"PeriodicalId\":36172,\"journal\":{\"name\":\"Journal of Management Science and Engineering\",\"volume\":\"8 2\",\"pages\":\"Pages 191-213\"},\"PeriodicalIF\":5.4000,\"publicationDate\":\"2023-06-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Management Science and Engineering\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2096232022000555\",\"RegionNum\":2,\"RegionCategory\":\"管理学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Management Science and Engineering","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2096232022000555","RegionNum":2,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
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.