Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets

TL;DR

This paper investigates how incorporating the Austrian EXAA electricity prices can improve the accuracy of day-ahead electricity price forecasts in European markets that settle prices after EXAA, using econometric models.

Contribution

It introduces a comparative analysis showing that including EXAA prices enhances forecasting models for European electricity markets.

Findings

Forecasting accuracy improves with EXAA price inclusion.

Econometric models outperform without EXAA data.

Markets settling after EXAA benefit from its price information.

Abstract

In our paper we analyze the relationship between the day-ahead electricity price of the Energy Exchange Austria (EXAA) and other day-ahead electricity prices in Europe. We focus on markets, which settle their prices after the EXAA, which enables traders to include the EXAA price into their calculations. For each market we employ econometric models to incorporate the EXAA price and compare them with their counterparts without the price of the Austrian exchange. By employing a forecasting study, we find that electricity price models can be improved when EXAA prices are considered.