Forecasting electricity prices in Finland: A comparative study of ARIMA and GRNN models

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Journal Title

Journal ISSN

Volume Title

School of Business | Master's thesis

Authors

Date

2024

Department

Tieto- ja palvelujohtamisen laitos

Major/Subject

Mcode

Degree programme

Business analytics

Language

en

Pages

70

Series

Abstract

In the deregulated electricity market, uncertainty about electricity price trends is increasing. Especially in recent years, electricity prices fluctuate frequently and dramatically with accompanying price crisis in Finland. Therefore, market participants are exposed to higher risks. By leveraging appropriate electricity price forecasting models, they could make informed decisions to mitigate risks. In this study, ARIMA models and GRNN models are applied to forecast electricity prices in Finland. The objective is to explore how the electricity price forecasting models perform. Moreover, there are comparisons between ARIMA models and GRNN models to discuss the optimal models in different situations. The findings demonstrate that both models perform better in normal price period than in crisis. After comparing these two types of models, it is found that whether in normal or crisis situations, ARIMA models yield more accurate forecasts than GRNN model.

Description

Thesis advisor

Viitasaari, Lauri

Keywords

electricity price forecasting, price crisis, ARIMA model, GRNN model

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Permanent link to this item

https://urn.fi/URN:NBN:fi:aalto-202410206782

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[gradu] Kauppakorkeakoulu / BIZ