Spot electricity price forecasting in Indian electricity market using autoregressive-GARCH models

In this study we investigate Spot electricity price forecasting performance of Autoregressive-GARCH models on Indian spot electricity price series. Hourly spot electricity price data for each of the five regions of Indian Electricity market from 1st of October 2010 to 15th November 2013 is used for the study to evaluate forecasting performance of the calibrated models. The conditional mean and conditional variance equations are estimated and one-step-ahead forecasts with a rolling window is performed. The fact that India being the only country in the world having power exchanges in-spite of demand outstripping supply and peak power shortage even to this day, further emphasizes the significance and criticality of spot electricity price forecasting from a power market participant's perspective and its practical relevance for Open access consumers in India.