# Econometric modelling and forecasting of intraday electricity prices

## TL;DR

This paper develops and tests econometric models for short-term forecasting of intraday electricity prices in Germany, revealing insights into market efficiency and price behavior.

## Contribution

It introduces a multivariate econometric approach using lasso and elastic net techniques for intraday electricity price forecasting, with detailed performance comparison.

## Key findings

- Models outperform benchmarks in short-term forecasts
- Insights into market efficiency and price dynamics
- Effective use of regularization techniques in time series modeling

## Abstract

In the following paper, we analyse the ID$_3$-Price in the German Intraday Continuous electricity market using an econometric time series model. A multivariate approach is conducted for hourly and quarter-hourly products separately. We estimate the model using lasso and elastic net techniques and perform an out-of-sample, very short-term forecasting study. The model's performance is compared with benchmark models and is discussed in detail. Forecasting results provide new insights to the German Intraday Continuous electricity market regarding its efficiency and to the ID$_3$-Price behaviour.