TY  - JOUR
AB  - Purpose– This paper set out to use an autoregressive conditional heteroscedasticity (ARCH)‐type model to capture the time‐varying conditional variance of Alberta electricity prices. This is of major importance in forecasting, since ARCH‐type models allow the conditional variance to depend on elements of the information set.Design/methodology/approach– The paper uses the model to perform static and dynamic forecasts over different horizons and to compare its forecasting performance with a random walk and a moving average model.Findings– The paper provides a study of hourly electricity prices using recent advances in the financial econometrics literature.Originality/value– The contribution of the paper is its use of models of changing volatility to properly identify the type of heteroscedasticity in the data‐generation processes. This is of major importance in forecasting.
VL  - 36
IS  - 4
SN  - 0144-3585
DO  - 10.1108/01443580910973592
UR  - https://doi.org/10.1108/01443580910973592
AU  - Gogas Periklis
AU  - Serletis Apostolos
PY  - 2009
Y1  - 2009/01/01
TI  - Forecasting in inefficient commodity markets
T2  - Journal of Economic Studies
PB  - Emerald Group Publishing Limited
SP  - 383
EP  - 392
Y2  - 2024/04/25
ER  -