МОДЕЛИРОВАНИЕ ЦЕНЫ ЭЛЕКТРОЭНЕРГИИ НА РОССИЙСКОМ ОПТОВОМ РЫНКЕ В СЕГМЕНТЕ РСВ

Максимов А. Г., Shchurupova D. V.

Based on a detailed analysis of a modern wholesale market of electricity in Russia, we focus on the econometric approach and simulate the dependence of the price on the exogenous factors, taking into account the structural features of the market and peculiarities of the price dynamics. On the basis of the actual database for 2014 ARMA models are developed to predict hourly electricity prices on the day-ahead market for two price zones in Russia. A set of 16 models, which are similar in nature but different in included regressors, are introduced (eight models for hourly dynamics for two zones). Dynamic forecasts on month ahead distance are conducted and the most suitable models from the point of minimizing the norms of the vectors residuals are chosen.

Keywords: оптовый рынок электроэнергии и мощности, РСВ

Publication based on the results of: Моделирование и эконометрическое тестирование микроэкономических предпосылок в моделях общего равновесия (2015)

In book

Системное моделирование социально-экономических процессов: труды 39-й Международной научной школы-семинара

Воронеж: Воронежский государственный педагогический университет, 2016.