Int. J. Indian Culture and Business Management, Vol. X, No.

Y, xxxx 1
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Modelling and forecasting of day-ahead electricity price in Indian energy exchange – evidence from MSARIMA-EGARCH model Sajal Ghosh*
Management Development Institute (MDI), Room No. C – 10, MDI, P.O. Box No. 60, Mehrauli Road, Sukhrali, Gurgaon 122001, India Fax: +91-124-2340147 E-mail: *Corresponding author

Kakali Kanjilal
International Management Institute (IMI), B-10, Qutab Institutional Area, Tara Crescent, New Delhi, 110016, India Fax: +91-11-26867539 E-mail:
Abstract: Electricity prices often exhibit extreme volatility due to its non-storable nature coupled with significant seasonal and diurnal variations of demand, supply constraints at peak hours and transmission bottlenecks. This study tries to forecast day-ahead hourly electricity price of Indian energy exchange (IEX) with an additional objective of modelling the volatility using MSARIMA and MSARIMA-EGARCH models. It has been found that MSARIMA-EGARCH model slightly outperform MSARIMA model in terms of in-sample forecasting performances. The study reveals that seasonality and time-varying volatility are present and past shocks to the variance are asymmetric with negative shocks give rise to higher volatility of price than positive shocks. The study also establishes that shocks to electricity price volatility die out almost instantaneously. The above information can help to build up cost effective risk management plans for the participating companies in IEX. Keywords: Indian energy exchange; IEX; electricity price forecasting; volatility; ARIMA; EGARCH. Reference to this paper should be made as follows: Ghosh, S. and Kanjilal, K. (xxxx) ‘Modelling and forecasting of day-ahead electricity price in Indian energy exchange – evidence from MSARIMA-EGARCH model’, Int. J. Indian Culture and Business Management, Vol. X, No. Y, pp.000–000. Biographical notes: Sajal Ghosh is an Assistant Professor of Economics in Management Development Institute, India. He did his PhD in Engineering, MTech in Energy Science and Technology and MPhil in Development Studies. His industry experience spans for six years. He was a member of CII National Council of Energy and World Energy Council’s International Study Group on

2 S. Ghosh and K. Kanjilal
‘energy market reforms’. He has several publications in the international journal of repute. His areas of interests are applied econometrics and time series modelling, energy markets, macro-economics and clean technologies. Kakali Kanjilal is working as an Associate Professor in Quantitative Techniques and Operational Management in International Management Institute (IMI), New Delhi. She did her MSc in Statistics and PhD in Macrofinance. She has 11 years of corporate experiences and several publications in the international journal of reputes. Her areas of interests are econometrics and time series modelling, fixed income security analysis, risk management, macroeconomics and monetary policies and energy economics.

1 Introduction
Short-term (minutes to several hours ahead) electricity demand and price forecasts have become increasingly important since the rise of the competitive energy markets This is a key component of risk management strategies adopted by the market participants. For a utility, short-run price forecast plays an important role in the day-to-day operations, and it is typically used for optimising system operation and scheduling of hydro units and other

peaking plants, such as gas turbines. The objective of the operators is to minimise variable costs without jeopardising the electric system to power failures (Ackerman, 1985). Similarly, once a good next day price forecast is available, a consumer can derive a plan to maximise its own utility using the electricity purchased from the pool. Because of non-storable nature of electricity coupled with significant seasonal and diurnal variations of demand; supply constraints at peak hours; and transmission bottlenecks, electricity prices often exhibit extreme volatility. In most competitive electricity markets, the hourly price series presents the following characteristics: high frequency, seasonality, non-stationarity, high volatility and frequent price spikes. Electricity prices may also exhibit an ‘inverse leverage effect’. Electricity price volatility tends to raise more so with positive shocks than negative shocks; this is a result of convex marginal costs (Bunn and Karakatsani, 2003). Many forecasting models have already been tried out on short term electricity demand (and price) forecasting, with varying degrees of success. They may be classified as time series models, in which electricity demand is modelled as a function of its past observed values; causal models in which the demand is modelled as a function of some exogenous factors, especially weather and social variables and; artificial intelligence-based techniques, which include expert systems, fuzzy inference, fuzzy neural models, and artificial neural networks (ANN). ANN has been used to deal with the non-linearity in time series. The main advantage of ANN in forecasting is that they are capable of inferring hidden relationship in data.

2 Literature survey
Time series techniques have become the most widely used method for short and medium-term forecasts in practice (Bunn and Karakatsani, 2003). In power systems, autoregressive integrated moving average (ARIMA) models have been used for Modelling and forecasting of day-ahead electricity price 3 short-term price forecasting with good results. Contreras et al. (2003) proposes two ARIMA models to predict hourly prices in the electricity markets of Spain and California. Conejo et al. (2005) analyses the performances of three families of forecasting techniques namely time series, neural networks and wavelets to predict the 24 market-clearing prices of a day-ahead electric energy in Pennsylvania–New Jersey–Maryland (PJM) interconnection, where time series techniques reveal themselves as more efficacious than wavelet-transform or neural network techniques. Among time series techniques, the dynamic regression and transfer function algorithms are found to be more effective than ARIMA models. It has been observed that multiplicative double-seasonal ARIMA and exponential smoothing (ES) models outperform ANN forecasts of electricity demand for lead times up to a day ahead for the state of Rio de Janeiro in Brazil and for England and Wales (Taylor et al., 2006). Volatility has been regarded as one of the most intrinsic features of electricity prices. According to Johnson and Barz (1999), Hadsell et al. (2004) and Escribano et al. (2011), electricity prices are seen to exhibit more volatility as compared to other commodity prices traded in financial markets. This behaviour is largely attributed to non-storable nature of electricity, highly variable demand, real-time demand-supply match, market power, and the diversity of plant costs among other things. GARCH-family of models is particularly useful to model electricity price volatility, which is characterised by clusters of non-constant variance (Escribano et al., 2011). Hadsell et al. (2004) found that electricity prices exhibit asymmetric time-varying volatility. Bowden and Payne (2008), Knittel and Roberts (2005), and Thomas and Mitchell (2007) have applied EGARCH to support the presence of an inverse leverage effect. Guirguis and Felder (2004), Garcia et al. (2005), Li and Zhang (2007), Bowden and Payne (2008), Hickey et al. (2012) have reported that GARCH models indeed improve forecasting performance. Bowden and Payne (2008) estimate ARIMA, ARIMA-EGARCH, and ARIMA-EGARCH-M models for hourly real-time electricity prices for each of the five hubs of the Midwest Independent System Operator (MISO). Study shows that no one model clearly dominates the others in terms of in-sample forecasting performance though ARIMA-EGARCH-M model outperforms the other models in terms of the out-of-sample forecasting performance. Sigauke and Chikobvu (2011) forecasts daily peak electricity demand in South Africa using a seasonal ARIMA (SARIMA), a SARIMA–GARCH and a

regression-SARIMA–GARCH (Reg-SARIMA–GARCH) model. Results from the study show that the Reg-SARIMA–GARCH model produces better forecast accuracy with a mean absolute percent error (MAPE) of 1.42%. Hickey et al. (2012) evaluates the forecasting performance of four ARMAX–GARCH models for five MISO pricing hubs (Cinergy, First Energy, Illinois, Michigan, and Minnesota) using hourly data from June 1, 2006 to October 6, 2007. Empirical results reveal that a electricity price volatility is regional and the optimum volatility model depends in part on the hub location, the forecast horizon, and regulated versus unregulated status of the market b the APARCH model performs well in hubs in deregulated states c volatility dynamics in regulated states are better captured by a simple GARCH model and thus are less complex. 4 S. Ghosh and K. Kanjilal India has set up Indian energy exchange (IEX), which has been designed for the purpose of dispensing short-term electricity available for trading through competitive bidding by inviting simultaneous anonymous bids from buyers as well as suppliers on day-ahead hourly basis. IEX is a nationwide, automated, and online electricity trading platform, which received approval from the Central Electricity Regulatory Commission on 31 August 2007. In India, long run (yearly basis) power demand forecasting is conduced by Cenreal Electricity Authority (CEA) and Planning Commission of India. To the best of my knowledge, there has been no official report on monthly energy and/or peak demand forecasting in India, let alone hourly demand (and price) forecasting, though there are published papers, which have attempted to forecast monthly and hourly electricity demands in various parts of India (Ghosh and Das, 2002; Ghosh, 2008, 2009). This study forecasts day-ahead hourly electricity price of IEX using of multiplicative seasonal autoregressive integrated moving average (MSARIMA) model and compares its in-sample forecasting performance with that of MSARIMA-exponential generalised autoregressive conditional heteroskedasticity (EGARCH) model with an additional objective of modelling time-varying volatility present in the time series data. Keeping in mind the importance of understanding electricity price volatility and the fact that day-ahead hourly electricity market is a relatively new phenomenon in Indian context, a thorough investigation of price forecasting and volatility modelling is useful contributions to the subject.

3 Data description, forecasting models and statistical analysis
Real time data on hourly electricity price (Rs per MwH) in IEX have been collected from IEX. As suggested by Contreras et al. (2003), Conejo et al. (2005) and Bowden and Payne (2008), the present study focuses on a particular sub-period, which is 01.09.2008 to 30.09.2008. The specific time frame is chosen because, as documented in the literature, usually high volatility is observed in the beginning of market’s operation that can be explained by learning by doing for market participants. Table 1 gives the summary statistics of the data. As shown in Table 1, prices are negatively skewed. Jarque-Bera test indicates that the series is non-normally distributed. Figure 1 depicts maximum and minimum daily price in IEX during estimation period.
Table 1 Summary statistics of the variable Mean 7,684.577 Median 8,050.41 Maximum 11,000.5 Minimum 2,339.83 Std. dev. 2,292.498 Skewness –0.737728 Kurtosis 2.492221 Jarque-Bera test 73.04432 (0.00) Observations 720 Note: Figure in brackets is probability value.

Modelling and forecasting of day-ahead electricity price 5
Figure 1 Daily maximum and minimum price in IEX (see online version for colours)
0 2000 4000

6000 8000 10000 12000

01092008 04092008 06092009 10092008 12092009 16092008 19092008 22092008 25092008 28092008
Date Rs/ MWH

High Low

3.1 MSARIMA model
A linear non-stationary stochastic process is said to be homogeneous of degree d when upon differentiating the original process by d times, the resulting transformed process has became covariance-stationary. If the original series Xt is homogeneous of degree d, then d (1 )d , 1,2,3, , Δ Xt = − L Xt = Zt t = …… T (1) is covariance-stationary. Here, L is the backward shift operator. An integrated process Xt is designed as an ARIMA (p, d, q), if taking differences of order d, a stationary process Zt of the type ARMA (p, q) is obtained. The ARIMA (p, d, q) model is expressed by the function Zt =φ1Zt−1 +φ2Zt−2 +………+φpZt− p + ut − θ1ut−1 − θ2ut−2 −……−θqut−q or ( )(1 )d ( ) φ L − L Xt = θ L ut (2)

3.1.1 Non-stationary homogeneous models with seasonal variations, ARIMA (P, D, Q)s
In most of the monthly electricity time series data, seasonal variation is one of the main sources of non-stationarity. To remove seasonal non-stationarity of such series where seasonality is daily, one can proceed with seasonal differencing by s = 24 times. The seasonal models ARIMA (P, D, Q) which are not stationary but homogenous of degree D can be expressed as 6 S. Ghosh and K. Kanjilal 1 2 Zt = Φ Zt−s +Φ Zt−2s +………+ΦpZt− ps + δ + ut −Θ1ut−s −Θ2ut−2s−… or ( )(1 ) ( ) s s D s

Φp L − L Xt = δ +ΘQ L ut (3) where Φ and Θ are fixed seasonal autoregressive (AR) and moving average (MA) parameters.

3.1.2 General multiplicative seasonal models, MSARIMA (p, d, q) (P, D, Q)s
These models take into account the effect of trend and seasonal fluctuations of a time series and are expressed as ( ) ( )(1 ) (1 ) ( ) ( ) . s s D d s Φp L φp L − L − L Xt = ΘQ L θq L ut (4)

3.2 MSARIMA-EGARCH (p,q) model
To deal with the ARCH effect, if any, present in the residual series, following MSARIMA-EGARCH model (Bollerslev and Wooldridge, 1992) would be estimated using maximum likelihood estimation procedure assuming normally distributed errors.

Mean equation: ( ) ( )(1 ) (1 ) ( ) ( ) s s D d s
Φp L φp L − L − L Xt = ΘQ L θq L ut………… (5) where ut ~ N (0, ht2 )

Variance equation:

( 2) ( 2)

log log
prq titk tikjtj itiktkj

hωuγuh hh
−− − =−=−=

= + α + + β …… (6) The mean of the volatility equation is denoted by ω. α represents the size effect, which indicates how much volatility increases irrespective of the direction of the shock. The estimate of β allows an evaluation of the persistence of shocks. Nelson (1991) shows that absolute value of β < 1 ensures stationarity and ergodicity for EGARCH (p, q). γ is the sign effect, which examine whether shocks have asymmetric or symmetric effects on volatility. A positive sign of γ implies that positive shocks give rise to higher volatility than negative shocks and vice versa. Modelling and forecasting of day-ahead electricity price 7


4 Empirical analysis
Box–Jenkins methodology has been employed to identify the most suitable ARIMA model. Box-Jenkins considers model building as iterative processes which can be divided into four stages: identification, estimation, diagnostic checking and forecasting . The sample autocorrelation function (ACF) and partial autocorrelation function (PACF) have been used to identify the stationarity of the series. If the series is non-stationary it is first transformed to covariance-stationary and then one can identify the possible values of the regular part of the model, i.e., autoregressive order p and MA order q in a univariate ARMA model along with the seasonal part, which can then be estimated by maximum likelihood. The residuals are then inspected for any remaining autocorrelation of the residual series. It has been observed that ACF follows a suspension bridge type pattern indicating the presence of seasonality as well as non-stationarity in the series. Besides, augmented Dickey-Fuller (ADF) test also assures that the series has non-stationarity. ADF test is conducted with the following model: ΔXt =α0 + (1− k)β t − (1− k)Xt−1 + y jΔXt− j + εt ; ( j :1,2,…, p) (7) where Xt is the underlying variable at time t, ε t is the error term and α 0, β, k and γ


j are

the parameters to be estimated. The lag terms are introduced in order to justify that errors are uncorrelated with lag terms. For the above-specified model the hypotheses, which would be of our interest, are: H0 : (1− k) = 0 The results of the unit root tests are reported in Table 2. It has been found that the null hypothesis of unit root cannot be rejected at 5% level of significance, implying non-stationary behaviour of the series. Stationarity is obtained after doing the similar exercise (stated above) on the first differenced series where the null hypothesis of a unit root is rejected at 5% level of significance.
Table 2 ADF unit root tests Variable Const, trend Const, no trend Level –2.3240 –2.31835 1st difference –16.2787 Critical value at 5% level –3.4162 –2.86545

Contrary to the unit root tests, which indicate stationarity after taking first difference, it has been found that the correlogram associated with the first difference series appear to show that the series is still non-stationary. As a result, we take both seasonal and non-seasonal differencing. Correlogram of the differenced series confirms stationarity. In the estimation stage, point estimates of the coefficients can be obtained by the method of maximum likelihood. The estimated parameters of the best fitted model in terms of Akike information criterion (AIC) to explain the day-ahead hourly price of electricity for the month of September 2008 is shown in Table 3. As shown in Table 3, all the coefficients are statistically significant at 5% level. The stationarity and invertibility conditions for respective seasonal and non-seasonal AR and MA terms are also satisfied. 8 S. Ghosh and K. Kanjilal Diagnostic tests in Table 4 reveal that the residuals are free from serial correlation up to 36 lags based on Ljung-Box Q-statistics though ARCH-LM test up to 36 lags appears to be statically significant, indicating the presence of ARCH effect. In order to capture ARCH effect present in the residual series MSARIMA-EGARCH models expressed in equation (5) and equation (6) are estimated, results of which are provided in Table 3. Optimal lag lengths are selected based on Schwarz Bayesian criterion (SBC), which are found to be p = 1 and q = 1. This study favours EGARCH over GARCH model because of following reasons. Unlike GARCH model, EGARCH does not impose any restriction on α, β and γ; estimate of β gives an idea whether shocks are persistence or not; and it allows one to judge asymmetric volatility. As shown in Table 3, all the coefficients in the mean equation are statistically significant. Stationarity and invertibility conditions are also satisfied. In terms of variance equation, the size effect, α, is positive and statistically significant 5% level with coefficient estimate of 0.719 indicating that a shock to electricity prices has the greater impact on volatility irrespective of the direction of shock. The sign effect, γ, is also statistically significant indicating the presence of asymmetric effects. The negative sign implies that negative shocks give rise to higher volatility of price than positive shocks. The volatility persistence term, β, is statistically significant at 10% level, however, the coefficient is small indicating that the shocks to volatility have transitory effects. The diagnostic tests in Table 4 reveal that the residual series are free from autocorrelation and ARCH effects.
Table 3 Estimation of the models Model ARIMA ARIMA-EGARCH I. Mean equation Φ1 0.22262 0.246306 θ1 –0.339125 –0.324738 Θ1 –0.870024 –0.843447 II. Variance equation ω 11.87665 α 0.719787 γ –0.085567 β 0.055941a Note: aSignificant at 10% level only Table 4 Diagnostic testing of the models

Model ARIMA ARIMA-EGARCH AIC 16.02186 15.86525 Q-stat(36) 41.551[0.14] 35.614 [0.34] ARCH (36) 1.347091 [0.04] 1.204421 [0.195] Note: Figures in parenthesis are probability values.

Modelling and forecasting of day-ahead electricity price 9

5 Forecasting performance
Estimated MSARIMA and MSARIMA-EGARCH models are finally used to forecast day-ahead hourly electricity price in IEX and forecasts are then evaluated using standard performance criterion such as root mean square error (RMSE), mean absolute error (MAE) and mean absolute percentage error (MAPE), Theil inequality coefficient, Bias and Variance proportions etc. RMSE and MAE criteria depend on the scale of the variable, while the MAPE and Theil inequality coefficient are insensitive to the scale of the variable. The smaller the error, the better is the forecasting performance for the series. The Theil inequality coefficient always lies between zero and one, where zero indicates a perfect fit. Any forecast is also said to be ‘good’, if the bias and variance proportions are small so that most of the bias should be concentrated on the covariance proportions. In-sample forecasting performances of MSARIMA and MSARIMA-GARCH models are shown in Table 5. MAPE between actual and the values predicted by MSARIMA and MSARIMA-GARCH models over the sample period are 5.97 and 5.86 respectively. MSARIMA-EGARCH model slightly outperform MSARIMA model in terms of lower RMSE, MAE, MAPE and Thiel inequality coefficient. Both the model has lower values of bias and variance proportions.
Table 5 In-sample forecasting performances Model ARIMA ARIMA-EGARCH RMSE 667 684.33 MAE 364.8 364.78 MAPE 5.971 5.859 Thiel inequality 0.0456 0.0445 Bias proportion 0.0065 0.0055 Variance proportion 0.0597 0.063 Covariance Proportion 0.9336 0.931

6 Conclusions
The present study establishes that the hourly electricity price in IEX exhibits nonstationarity, seasonality and time-varying volatility. To model time-varying volatility, MSARIMA-EGARCH model has been employed to examine whether or not shocks have asymmetric and persistent effects on hourly price volatility. The outcomes of the present study are as follows. First, MSARIMA-EGARCH model confirms that past shocks to the variance are asymmetric with negative shocks give rise to higher volatility of price than positive shocks of an equal magnitude. The presence of asymmetry implies that the electricity prices might have experienced regime shift. Second, the shocks to electricity price volatility die out almost instantaneously and third, in-sample forecasting performances reveal that incorporation of asymmetric time-varying volatility into an MSARIMA model improve the price forecasts in the day-ahead market. The findings of this study may have implications on the way buyers and sellers anticipate and/or model electricity price volatility and thus their bids in the day-ahead market 10 S. Ghosh and K. Kanjilal The presence of ‘inverse leverage effect’ in day-ahead electricity price as documented in the literature (Bunn, and Karakatsani, 2003; Knittel and Roberts, 2005; Bowden and Payne, 2008) is not observed here. This may be due to the fact that the market is in a nascent state and there are chronic shortages of supply. The phenomenon may be observed once the market matures. Future research in this area may be directed to employ larger dataset and models like jump diffusion, ARMAX and neural network that can capture price spikes, seasonality, as well as cyclical and secular movements of electricity prices. One can also introduce more GARCH family of models like APARCH, CGARCH etc for modelling and forecasting volatility over a longer horizon.

The authors would like to thank anonymous referees for their valuable comments and suggestions. Thanks are also extended to the editor of the journal for his continuous

support and encouragement. Errors, if any, are our own doing.

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