Deep Time-Series Models Meet Volatility: Multi-Horizon Electricity Price Forecasting in the Australian National Electricity Market

TL;DR

This study evaluates state-of-the-art deep time-series models for electricity price forecasting in the volatile Australian market, revealing their limitations under extreme conditions and highlighting the need for volatility-aware approaches.

Contribution

It systematically assesses deep learning models across multiple horizons and market conditions, exposing their vulnerabilities and providing insights for improving EPF in volatile environments.

Findings

Deep models often do not outperform standard baselines in high-volatility settings.

Models struggle during extreme price spikes and negative price periods.

Forecast accuracy deteriorates during market shifts and intraday price ramps.

Abstract

Accurate electricity price forecasting (EPF) is increasingly difficult in markets characterised by extreme volatility, frequent price spikes, and rapid structural shifts. Deep learning (DL) has been increasingly adopted in EPF due to its ability to achieve high forecasting accuracy. Recently, state-of-the-art (SOTA) deep time-series models have demonstrated promising performance across general forecasting tasks. Yet, their effectiveness in highly volatile electricity markets remains underexplored. Moreover, existing EPF studies rarely assess how model accuracy varies across intraday periods, leaving model sensitivity to market conditions unexplored. To address these gaps, this paper proposes an EPF framework that systematically evaluates SOTA deep time-series models using a direct multi-horizon forecasting approach across day-ahead and two-day-ahead settings. We conduct a comprehensive empirical study across all five regions of the Australian National Electricity Market using contemporary, high-volatility data. The results reveal a clear gap between time-series benchmark expectations and observed performance under real-world price volatility: recent deep time-series models often fail to surpass standard DL baselines. All models experience substantial degradation under extreme and negative prices, yet DL baselines often remain competitive. Intraday performance analysis further reveals that all evaluated models are consistently vulnerable to prevailing market conditions, where absolute errors peak during evening ramps, relative errors escalate during midday negative-price periods, and directional accuracy deteriorates sharply during abrupt shifts in price direction. These findings emphasise the need for volatility-aware modelling strategies and richer feature representations to advance EPF.