European Journal of Operational Research xxx (2013) xxx–xxx

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European Journal of Operational Research

journal homepage: www.elsevier.com/locate/ejor

Innovative Applications of O.R.

Modeling special-day effects for forecasting intraday electricity demand

Myung Suk Kim ⇑
Global Service Management Department, Sogang Business School, Sogang University, #1 Shinsu-Dong, Mapo-Gu, Seoul 121-742, Republic of Korea

a r t i c l e i n f o a b s t r a c t

Article history: We propose and apply a novel approach for modeling special-day effects to predict electricity demand in
Received 9 January 2013 Korea. Notably, we model special-day effects on an hourly rather than a daily basis. Hourly specified pre-
Accepted 26 March 2013 dictor variables are implemented in the regression model with a seasonal autoregressive moving average
Available online xxxx
(SARMA) type error structure in order to efficiently reflect the special-day effects. The interaction terms
between the hour-of-day effects and the hourly based special-day effects are also included to capture the
Keywords: unique intraday patterns of special days more accurately. The multiplicative SARMA mechanism is
Forecasting
employed in order to identify the double seasonal cycles, namely, the intraday effect and the intraweek
Double SARMA model
Intraday electricity demand
effect. The forecast results of the suggested model are evaluated by comparing them with those of various
Special-day effect benchmark models for the following year. The empirical results indicate that the suggested model out-
performs the benchmark models for both special- and non-special day predictions.
Ó 2013 Elsevier B.V. All rights reserved.

1. Introduction
Consumers typically demand electricity throughout the year,
including special days/holidays. However, electricity demand pat-
terns on holidays are often idiosyncratic and cause significant fore-
casting errors. Such effects are known as special-day effects and
are recognized as an important issue in determining electricity de-
mand data.
Typically, while observations related to special-day effects have
been included in prediction models, they have been eliminated
from the testing periods (Nowicka-Zagrajek and Weron, 2002).
Darbellay and Slam (2000) suggested splitting the data into work-
ing days and holidays, so that researchers could predict the two
data series separately. Smith (2000) treated holidays as Sundays.
Hippert et al. (2005) simply switched the holiday data with similar
values from a day of the preceding week. Taylor et al. (2006) tried
to smooth out the special days by averaging the corresponding
periods from two adjacent weeks prior to fitting and evaluation.
Special-day effects have been explicitly included in forecasting
models using dummy variables. In particular, many researchers
have applied regression models with regression coefficients and
an autoregressive-moving-average (ARMA) type error, because it
is convenient to include important deterministic components, such
as the trend, seasonality, and special-day effects. For example,
Ramanathan et al. (1997) suggested employing a dummy variable
to reflect the effect of the day after a holiday. Pardo et al. (2002)
used dummy variables to indicate holidays and working days be-
⇑ Tel.: +82 2 705 8532; fax: +82 2 705 8519.
E-mail address: myungkim@sogang.ac.kr
fore holidays. Cottet and Smith (2003) applied 5 day-type dummy
variables to the days of the week and also coded public holidays as
Sundays. Gould et al. (2008) suggested a state space model ap-
proach with multiple seasonal patterns. They coded holidays using
the same indicator as the one for the Saturday or Sunday sub-cycle.
Soares and Medeiros (2008) employed 15 different codes for the
days of the week, common holidays, special holidays, working days
before and after a holiday, etc. Cancelo et al. (2008) implemented
various dummy variables to define different classes of special days.
Religious and national holidays were modeled using dummy vari-
ables by De Livera et al. (2011). More recently, more complicated
nonlinear type models using fuzzy neural network techniques have
been proposed and applied by some authors (Srinivasan et al.,
1995; Kim et al., 2000). These models use dummy variables or seg-
mentation rules and apply to special days with abnormally low
demand.
Each of the abovementioned forecasting models for special-day
effects have been applied to intraday high frequency electricity
data. Numerous studies have suggested employing the intraday
high frequency data forecasting approach in order to determine
the electricity demand or load, since it is best suited given the
availability of relevant data and the increasing interest in short-
term prediction. In fact, the intraday modeling scheme is known
to be more effective than its inter-day counterpart in the presence
of significant intraday dependence. On the contrary, the special-
day effects in most of the above mentioned models have been
coded on a daily basis, instead of an intraday basis, via dummy
variables. Therefore, the intraday patterns of special days are trea-
ted as being similar to those of ordinary days, with the exception of
the relatively reduced amounts. However, the intraday patterns of
special days tend to differ significantly from those of average days.

0377-2217/$ - see front matter Ó 2013 Elsevier B.V. All rights reserved.
http://dx.doi.org/10.1016/j.ejor.2013.03.039

Please cite this article in press as: Kim, M.S. Modeling special-day effects for forecasting intraday electricity demand. European Journal of Operational Re-
search (2013), http://dx.doi.org/10.1016/j.ejor.2013.03.039
2 M.S. Kim / European Journal of Operational Research xxx (2013) xxx–xxx
We propose a novel approach that efficiently captures special-
day effects. Unlike previous models, using two variables, this study
considers the special-day effects on an intraday basis in order to
reflect their unique intraday patterns. The first variable distin-
guishes the abnormal intraday pattern of a special day from that
of an ordinary intraday. The second variable reflects the level of
abnormality of the specific intraday period on a special day. On
most special days, there are few observations; thus, it is difficult
to capture the exact abnormal intraday period as well as its
strength. In this study, we seek to record more detailed intraday
special-day patterns; thus, we also explore the interaction between
the intraday period and special-day effects. We program the sto-
chastic term of the regression model using a double seasonal
ARMA (SARMA) mechanism, which allows me to capture various
seasonal components, such as the intraday and intraweek effects.
We also apply hourly electricity demands to evaluate the sug-
gested model. This data set contains multiple seasonal cycles and
various special-day effects. Finally, the suggested model is com-
pared with various benchmark models, and its superiority is
proved empirically.
The remainder of this article is organized in the following man-
ner. Section 2 describes the patterns of hourly electricity demand
in Korea and explains the motivation for this study. In Section 3,
we describe the suggested model, introduce the benchmark mod-
els, and discuss the model evaluation criteria. Section 4 reviews
the empirical comparison results among the models. Some con-
cluding remarks are provided in Section 5.
2. Data description
In Korea, the hourly amount of electricity demand is measured
in megawatts. For the purposes of this study, a daily sample was
composed of 24 observations taken between 01:00 and
24:00 hours. The time period under study ranged from January 1,
2006 to December 31, 2008. Hence, the total number of observa-
tions is 26,304. The data set was obtained from the Korean Power
Exchange (KPX). The time series are illustrated in Fig. 1.
According to Fig. 1, the electricity demand series denotes signif-
icant holiday effects. Occasional drops in dynamics are docu-
mented and point to reduced electricity consumption on
holidays. One possible reason could be that many businesses do
not function on holidays, and the overall electricity demand in Kor-
ea is significantly lower on these days. In particular, on traditional
Fig. 1. The Korean hourly electricity demand time series from January 1, 2006 to December 31, 2008.
Please cite this article in press as: Kim, M.S. Modeling special-day effects for forecasting intraday electricity demand. European Journal of Operational Re-
search (2013), http://dx.doi.org/10.1016/j.ejor.2013.03.039
Korean holidays, such as Seollal and the Mid-Autumn festival
(which are composed of three consecutive days), drops in electric-
ity demand can be explicitly detected, the more significant of them
marked by the six circles in Fig. 1.
Fig. 2 illustrates the average hourly demand on several kinds of
special days and compares them with the average hourly demand
on ordinary days. Due to the lower number of holidays between
January 1, 2002 and July 31, 2007, we employ the hourly electricity
demand data for more than five and a half years. Using this plot, we
can easily observe that the intraday patterns of special days differ
from those of ordinary days. On holidays, the hourly electricity de-
mand tends to be explicitly lower than that of an ordinary day dur-
ing business hours. Here, the term ‘‘holiday’’ refers to ordinary
holidays, including New Year’s Day, Independence Movement
Day, Labor Day, Buddha’s Day, Children’s Day, Memorial Day, Con-
stitution Day (2006 and 2007 only), Liberation Day, National Foun-
dation Day, and Christmas Day. The intraday patterns of most
ordinary holidays tend to be similar to each other in the pilot anal-
ysis; therefore, we treat each of the ordinary holidays identically.
In contrast, the pattern of the hourly demand curves for traditional
holidays, such as the Mid-Autumn festival and Seollal, appear to be
significantly different from those of ordinary holidays. Meanwhile,
the patterns on the days before the Mid-Autumn festival and after
Seollal seem to be similar to those of the ordinary holidays. Elec-
tricity demand on the day before Seollal tends to decrease after
around 15:00 hours; on the other hand, electricity demand on
the day after the Mid-Autumn festival tends to remain low
throughout the day. This graph proves that special days contain
unique intraday or hourly patterns. The modeling of intraday-
based special-day effects seems to represent the effects of special
days more precisely.
Fig. 1 also seems to include multiple seasonal cycles in its
dynamics; however, it does not reflect the detailed patterns of
the cycles. Due to these limitations, we create Fig. 3a, which uses
the entire data set to depict the average hourly demand dynamics
over seven days of the week. The implemented data are the initial
in-sample data set (from January 1, 2006 to July 31, 2007). Accord-
ing to Fig. 3a, the demand for electricity appears to decrease from
13:00 to 16:00 hours for all days of the week. The minimum de-
mand is recorded at 04:00 hours from Mondays to Saturdays. After
05:00 hours, electricity demand increases until 12:00 hours from
Mondays to Saturdays. In particular, we observe the maximum
electricity demand at 12:00 hours on Wednesdays, Fridays, and
Saturdays. A sharp fall is documented during lunch time. After
 M.S. Kim / European Journal of Operational Research xxx (2013) xxx–xxx 3

Fig. 2. Average of hourly demand for normal days (normal), ordinary holidays (holiday), Seollal holidays (Seol), Mid-Autumn festival holidays (Mid-Aut), the day before and
after the Seollal holidays (B-Seol and A-Seol respectively), the day before and after the Mid-Autumn festival holidays (B-Mid and A-Mid respectively).

Fig. 3. (a) Average of hourly demand for seven days of the week and (b) Periodogram plot for electricity demand in Korea.

lunch, the demand increases and remains high until 20:00 or
21:00 hours on weekdays. When comparing the demand over the
days of the week, we note that the patterns observed from Mon-
days to Fridays are very similar, with one exception: significantly
lower values are noted from 01:00 to 10:00 hours on Mondays.
On the other hand, the demand pattern on Sundays is completely
different from that of the other days of the week.
In summary, Fig. 3a depicts the different intraday patterns over
the seven days of the week. These effects are summarized into two
seasonal cycles: the hour-of-day (intraday) effect and the day-of-
week (intraweek) effect. Evidence of these effects appears in
numerous studies analyzing short-term electricity data (Darbellay
and Slam, 2000; Soares and Medeiros, 2008; Taylor, 2003, 2010).
To provide rigorous statistical evidence of the existence of these
two effects, Fig. 3b presents the periodogram plot for the electricity
demand. The frequency on the x-axis indicates the angular fre-
quency, which is equal to 2p/period. For example, an angular fre-
quency of 0.2618 corresponds to the period 24. This period
translates to a day since we consider hourly data in this study.
According to this figure, the dominant peak of the periodogram al-
most corresponds to the period of a day. The second-largest peak is
observed at the period of a week. These results provide evidence of
the existence of intraday and intraweek cycles.
Besides the intraday and intraweek effects, Taylor (2010) sug-
gested the consideration of the intrayear effect, consisting of data
over six complete years, for modeling and forecasting intraday
electricity demand. While this effect seems plausible, we do not
consider it, since we do not find conclusive evidence of this period-
icity in the data set.
3. Models and evaluation
Recently, two types of methods have been primarily applied to
high frequency electricity data prediction: multi-equation model-
ing for each intraday period (Ramanathan et al., 1997; Cottet and
Smith, 2003; Cancelo et al., 2008; Soares and Medeiros, 2008)
and univariate time series modeling (Darbellay and Slam, 2000;

Please cite this article in press as: Kim, M.S. Modeling special-day effects for forecasting intraday electricity demand. European Journal of Operational Re-
search (2013), http://dx.doi.org/10.1016/j.ejor.2013.03.039
4 M.S. Kim / European Journal of Operational Research xxx (2013) xxx–xxx
Smith, 2000; Taylor, 2003, 2010, 2012). The first method treats
each intraday period as a different series, while the second treats
the entire time series as one series. According to Cancelo et al.
(2008), most authors prefer the first method. However, there is
some debate as to which method is better. In particular, the mul-
ti-equation approach involves too many parameters for estimation.
Moreover, some studies that used the multi-equation approach
disregarded intraday dependence characteristics (Cancelo et al.,
2008; Soares and Medeiros, 2008). As mentioned before, if the
intraday dependence pattern is significant, it is important to in-
clude it in the model. In this paper, we apply the univariate mod-
eling approach as it has been widely employed in forecasting other
high frequency data, including call arrivals (Shen and Huang, 2008;
Taylor, 2008).
To reduce the heteroscedasticity problem, a variety of transfor-
mation schemes have been suggested in the literature. Logarithmic
and square root transforms have been extensively implemented.
Recently, the traditional Box–Cox transformation was employed
as a component of a seasonal exponential smoothing model, and
its parameter was estimated along with other parameters (De Live-
ra et al., 2011). We apply a square root transformation in this
pffiffiffiffiffi
study. A transformed variable yt ¼ N t is utilized for prediction,
where Nt is the electricity demand in hour t. According to Makrida-
kis et al. (1998) and Taylor (2008), a square root transformation is
useful to reduce the heteroscedasticity when it is proportional to
the level of the original series. In the previous section, we observed
that the levels of electricity demand differ between ordinary and
special days. Indeed, these patterns may lead us to assume that
the variance of the distribution on ordinary days is different than
that on special days, which indicates the existence of heteroscedas-
ticity. Furthermore, if there is strong heteroscedasticity, forecast-
ing electricity demand on working days and special days would
be problematic using the proposed model. Therefore, the square
root transformation will help to alleviate the problem. Particularly,
predictions with this transformation have typically provided supe-
rior forecasting results than predictions without it in several pilot
studies.
3.1. The regression model with special-day effects and SARMA errors
If yt depends on an exogeneous variable xt in some way, then we
can write a regression model as
yt ¼ c þ f ðxt Þ þ et ;
where c is a constant. f() is a function of the predictor variables,
while et is an autocorrelated stochastic error term, which is inde-
pendent of xt. For example, et is assumed to be
hq ðBÞHQ 1 ðBS1 ÞHQ 2 ðBS2 Þ
et ¼ et ;
/p ðBÞUp1 ðBS1 ÞUp2 ðBS2 Þ
where et is white noise. If we assume that et follows a normal dis-
tribution, then the maximum likelihood (ML) method for parameter
estimation is applicable. Eq. (1) indicates that the error term et is
modeled via a double SARMA mechanism.
B is the backshift operator with Blyt = ytl. /p (B) and hq(B) des-
ignate the autoregressive (AR) and moving average (MA) parts,
respectively. These are usually polynomial functions of orders p
and q, respectively. Up1 ðBS1 Þ and Up2 ðBS2 Þ indicate two seasonal fac-
tors related to the AR part. HQ 1 ðBS1 Þ and HQ 2 ðBS2 Þ indicate two sea-
sonal factors related to the MA part. P1, P2, Q1, and Q2 indicate the
order of the corresponding polynomial functions, and s1 and s2
indicate the length of the two seasonal cycles. In this study, intra-
day and intraweek effects are modeled via this double SARMA
mechanism. This stochastic disturbance is often represented as
ARMAðp; qÞ  ðP 1 ; Q 1 Þs1  ðP2 ; Q 2 Þs2 . Regression models with SAR-
Please cite this article in press as: Kim, M.S. Modeling special-day effects for forecasting intraday electricity demand. European Journal of Operational Re-
search (2013), http://dx.doi.org/10.1016/j.ejor.2013.03.039
MA errors and few regression coefficients are often referred to as
‘‘SARMA with the exogeneous variable’’ (SARMAX) model.
In this study, the suggested model includes the following pre-
dictor variables: IntAh,t, IntBh,t, and Bt. IntAh,t represents the interac-
tion effect between the hour-of-the-day effect and the hour-of-
special-day effect At. The hour-of-day effects are coded using k-
dummy variables. The corresponding current hour of day at t is
coded as 1 if it is the same as the kth hour of the day (where
k = 1, 2, . . . , 23) and 0 otherwise. At indicates whether a specific
hour of a special day deviates from the normal pattern. In particu-
lar, At = 1 if t corresponds to some specific time on some special
days with their patterns differing from the ordinary. Otherwise,
At = 0. On the other hand, IntBh,t represents the interaction effect
between the hour of the day and Bt. We implement Bt so as to dis-
cern the difference between the strength of the idiosyncrasy of the
intraday pattern on a special day. Bt = 2 indicates a pattern that is
even more extraordinary than the regular abnormality, which is
coded as Bt = 1. For a normal case, Bt = 0.
We suggest the following SARMAX model:
X
23 X23
hq ðBÞHQ 1 ðBS1 ÞHQ 2 ðBS2 Þ
yt ¼ c þ b0 Bt þ ah IntAh;t þ bh IntBh;t þ et : ð2Þ
h¼1 h¼1 /p ðBÞUp1 ðBS1 ÞUp2 ðBS2 Þ
Henceforth, we refer to this model as the SARMAX (AB) model. Ini-
tially, we consider including the variable At in the model; however,
we decide against this since it turned out to be insignificant with
the existence of Bt. Furthermore, models with Bt tend to provide
better fits than ones with At.
Detailed values of At and Bt corresponding to some specific
hours of some special days are summarized in Table 1. At and Bt
are coded as 0 during all the other times of the year not included
in Table 1. The implemented rules are as follows: If the average
hourly electricity demand on special days is lower than that on
normal days by amounts bigger than or equal to 10% of the demand
on normal days, then At = 1. Otherwise, At = 0. On the other hand, if
the average hourly electricity demand on special days is lower than
that on normal days by amounts equal to or exceeding 10% and less
than 20% of the demand on normal days, then Bt = 1. Bt = 2 if the
average hourly electricity demand on special days is lower than
that on normal days by amounts equal to or exceeding 20% of
the demand on normal days. Otherwise, Bt = 0.
As mentioned earlier, we employ hourly electricity demand
data for more than five and a half years (from January 1, 2002 to
July 31, 2007) to construct the coding system in Table 1. Note that
the forecasting period starts from August 1, 2007. Since the num-
ber of observations on special days is quite limited, it is not easy
to build explicit distributions of the variables specifying intraday
special-day effects. Thus, this coding system is constructed with
the help of the graphical comparison seen in Fig. 2. While this ap-
ð1Þ
proach is ad hoc and may appear to be subjective, when taken to-
gether, the two variables (At and Bt) effectively help improve the
forecasting accuracy with the interaction effects.
A discussion of the weather variables is also pertinent.
Researchers have included weather variables in models predicting
short-term electricity demand in various ways (Srinivasan et al.,
1995; Ramanathan et al., 1997; Cottet and Smith, 2003; Cancelo
et al., 2008). While forecast models with weather variables appear
to be competitive, it is typically difficult to obtain accurate intraday
weather forecasts. There are about 570 weather stations in Korea.
Constructing weather variables reflecting each of these 570 cli-
matic regions is certainly very difficult and time consuming. Note
that the electricity demand data reflects the electricity demand
of South Korea as a whole. Predicting the variables on an hourly ba-
sis is likely to be even more difficult. Additionally, according to
Cottet and Smith (2003), general meteorological conditions vary
by a higher degree during the summer, leading to weather forecast
 M.S. Kim / European Journal of Operational Research xxx (2013) xxx–xxx 5

Table 1
Special-day effects represented by variables At and Bt and their values for specific times on special days.

Variable Description Time (24-hours clock)

At Bt
1 1 Ordinary holiday 9:00–20:00
Seollal holidays 6:00–8:00, 23:00–24:00
The day before the Seollal holidays 15:00–22:00
The day after the Seollal holidays 9:00–18:00
The day before the Mid-Autumn festival holidays 16:00–24:00
The day after the Mid-Autumn festival holidays 19:00–23:00
1 2 Seollal holidays 9:00–22:00
Mid-Autumn festival holidays 1:00–24:00
The day after the Mid-Autumn festival holidays 1:00–18:00, 24:00

failures. Recent trends show that the summer season in Korea is hq ðBÞHQ 1 ðBS1 ÞHQ 2 ðBS2 Þ
getting longer, spanning more than three months per year. Fur- yt ¼ c þ c0 dt þ et ;
/p ðBÞUp1 ðBS1 ÞUp2 ðBS2 Þ
thermore, the weather-based methods were empirically shown
to be inferior to many types of univariate models for very short- where dt is an exogeneous variable that represents the special-day
term predictions (less than six hours in advance) (Taylor, 2012). effects on a daily basis in the SARMAX model. dt = 1 if time t belongs
Due to these concerns, we exclude weather variables from the pro- to a special day; in this case, special days include all holidays and
posed model. the working days before/after Seollal and the Mid-Autumn festival.
Here, all hours of special days are coded as 1, because the special-
3.2. The benchmark models day effects are coded on a daily basis. During all other times, dt is
coded as 0. Additionally, we attempt to include a linear time trend
Hahn et al. (2009) conducted a comprehensive literature review term in the function of predictor variables in order to check the
to summarize various types of electric load forecasting models. existence of a significant time trend pattern. However, it was not
Major forecasting models include SARMA type models, seasonal detected.
exponential smoothing, artificial neural networks (ANN), support
vector machines, and hybrids of several models. Among these, 3.2.3. SARMAX models with only one type of hourly-based special-day
the SARMA type models have been prevalently implemented as effect
benchmark models in numerous studies. Empirical evidence shows For comparison purposes, we consider the restricted SARMAX
that these models outperform many rival models. In particular, the (AB) models with only one type of special-day effect. Therefore,
double SARMA models surpassed the ANN type models for rela- we delete either the Type A or the Type B related variable from
tively short-term forecasting (Taylor et al., 2006; Taylor, 2010; Eq. (2). The SARMAX model with a Type A special-day effect only
Taylor, 2012). A triple SARMA model with intraday, intraweek, is written as
and intrayear effects was superior to an extension of standard
Holt–Winters exponential smoothing with triple seasonal compo- X
23
hq ðBÞHQ 1 ðBS1 ÞHQ 2 ðBS2 Þ
nents (Taylor, 2010). To evaluate the prediction performance of yt ¼ c þ a0 At þ ah IntAh;t þ et :
h¼1 /p ðBÞUp1 ðBS1 ÞUp2 ðBS2 Þ
the SARMAX (AB) model, we conduct comparisons with the follow-
ing SARMA or SARMAX type benchmark models. For a comparison The SARMAX model with a Type B special-day effect only is ex-
with other classes of models, we additionally consider an exponen- pressed as
tial smoothing method.
X23
hq ðBÞHQ 1 ðBS1 ÞHQ 2 ðBS2 Þ
yt ¼ c þ b0 Bt þ bh IntBh;t þ et :
3.2.1. SARMA model h¼1 /p ðBÞUp1 ðBS1 ÞUp2 ðBS2 Þ
The double SARMA model can be written as
As shown in the next section, under certain evaluation criteria, a
/p ðBÞUp1 ðBS1 ÞUp2 ðBS2 Þð1  BÞd ð1  BS1 ÞD1 ð1  BS2 ÞD2 ðyt  cÞ SARMAX model with both types of special-day effects is superior to
a SARMAX model with only one type of special-day effect.
¼ hq ðBÞHQ 1 ðBS1 ÞHQ 2 ðBS2 Þet ;

where d, D1, and D2 are orders of differencing, and ð1  BÞ; ð1  BS1 Þ,
and ð1  BS2 Þ are difference operators. This model is written as
ARIMAðp; d; qÞ  ðP 1 ; D1 ; Q 1 Þs1  ðP 2 ; D2 ; Q 2 Þs2 . Note that the ARIMA
model is reduced to the ARMA model if d = 0 (i.e., if there is no dif-
ferencing). A model fitted with differencing (d = 1) is useful if there
is any evidence of existence of significant unit roots. In this study,
we consider a model fitted with no differencing since we did not de-
tect any significant existence of unit roots via several unit root tests.
3.2.2. SARMAX model with daily-based special-day effects
Soares and Medeiros (2008) considered the SARMA model with
special-day effects as a benchmark model. However, they em-
ployed dummy variables in order to identify special days. They also
applied the special-day effects on a daily basis. In this study, we
implement a similar approach. We apply daily-based special-day
effects to the regression model with the SARMA error term. Thus,
3.2.4. SARMAX model with lagged dependent variables
In their regression model for daily electricity spot price fore-
casting, Koopman et al. (2007) suggested the idea of plugging
lagged dependent variables in the function of the predictor vari-
able. This allowed them to capture seasonal cycles, such as day-
of-week effects. Regarding the stochastic term, they applied the
generalized autoregressive conditional heteroscedasticity (GARCH)
process, which allowed them to reflect the volatility clustering
characteristics of spot prices. In the main model (SARMAX (AB)),
the seasonal periodicities are already captured through the sto-
chastic disturbance part in the SARMA mechanism; nevertheless,
we also consider including the lagged dependent variables. If there
is any significance in the newly added variables, then we might ex-
pect an additional periodic pattern that was not detected through
the SARMA mechanism in the stochastic term of the SARMAX (AB)
model. Including these variables in the model might allow for

Please cite this article in press as: Kim, M.S. Modeling special-day effects for forecasting intraday electricity demand. European Journal of Operational Re-
search (2013), http://dx.doi.org/10.1016/j.ejor.2013.03.039
6 M.S. Kim / European Journal of Operational Research xxx (2013) xxx–xxx
better forecasting results. We call this benchmark model the SAR-
MAX model with lagged dependent variables and express it as
X
k X
23 X
23
yt ¼ c þ ci yti þ b0 Bt þ ah IntAh;t þ bh IntBh;t
i¼1 h¼1 h¼1
hq ðBÞHQ 1 ðBS1 ÞHQ 2 ðBS2 Þ
þ et :
/p ðBÞUp1 ðBS1 ÞUp2 ðBS2 Þ
P written as
This model adds the lagged dependent variables ki¼1 ci yti to Eq.
(2). Assuming the normality of et, we obtain the ML estimators for
the parameters.
3.2.5. Seasonal exponential smoothing
As stated earlier, we also implement a seasonal exponential
smoothing method. This approach is appropriate when the time
series does not include a trend but does include seasonality. Intra-
day and intraweek cycles corresponding to 24 and 168 hours
respectively, are attempted. The smoothing equations are built in
an additive way.
3.3. Summary of models
In this study, we implement a total of seven models. The nota-
tions of each model are summarized in the following manner:
SARMA: This is a double SARMA model without differencing,
where the SARMA mechanism is employed to catch multiple
seasonal cycles, namely the intraday effect and the intraweek
effect.
SARMAX (d): This is a double SARMAX model with daily spe-
cial-day effects.
SARMAX (A): This is a double SARMAX model with only Type A
special-day effects in its function of predictor variables. Sto-
chastic disturbance is built using the double SARMA mecha-
nism. The Type A variable identifies the abnormality of
specific hours of some special days from the other hours of
those days.
SARMAX (B): This is a double SARMAX model with only Type B
special-day effects in its function of predictor variables. The sto-
chastic term is constructed via the double SARMA mechanism.
The Type B variable measures the strength of the abnormality
of specific hours of some special days.
SARMAX (AB): This is a double SARMAX model with special-day
effects of both types A and B in its function of predictor vari-
ables. The stochastic term is built using the double SARMA
mechanism. This is the main model in this study. The other
six models serve as benchmark models.
SARMAX-Lag: This is a double SARMAX model with lagged
dependent variables in the function of predictor variables as
well as special-day effects for both Types A and B. The stochas-
tic term is constructed using the double SARMA mechanism.
Lagged dependent variables are provided to catch additional
seasonal cycles.
SES: This is a seasonal exponential smoothing technique with
no trend. However, seasonal cycles, namely the intraday effect
and the intraweek effect, are included.
3.4. Model evaluation criteria
The prediction accuracies between models are evaluated using
the forecasting results of the following day. For example, forecast-
ing for the next day (i.e., ‘‘tomorrow’’/day i) is undertaken hourly,
up to 24 hours in advance, using the information available at the
end of ‘‘today/day i  1’’. By using the 24-hourly prediction out-
comes of the following day, we compute the root mean square er-
Please cite this article in press as: Kim, M.S. Modeling special-day effects for forecasting intraday electricity demand. European Journal of Operational Re-
search (2013), http://dx.doi.org/10.1016/j.ejor.2013.03.039
rors (RMSEs) and the mean absolute percentage errors (MAPEs).
Thus, we obtain the daily RMSEs and MAPEs. The averages are
computed using the distributions of the daily RMSEs and MAPEs
over the prediction period, which are then applied to the predic-
tion evaluation. These model evaluation criteria have also been
employed in forecasts using short-term time series data (Weinberg
et al., 2007; Shen and Huang, 2008).
On a daily basis, the formulae for the RMSE and the MAPE are
!1=2
1X
J
100 X jNij  N
J b ij j
RMSEi ¼ b ij Þ2
ðNij  N and MAPEi ¼ ;
J j¼1 J j¼1 N ij
b ij is the forecasted value of Nij using the information available at
N
the end of day i  1, where Nij indicates the electricity demanded
on day i and hour j, where j = 1, 2, . . . , 24. Nij corresponds to Nt,
where t = j + 24  (i  1). One might use N b tþjjt to represent the de-
mand prediction in period t + j from period t.
In this study, the initial in-sample data set ranges from
01:00 hour on January 1, 2006 to 24:00 hours on July 31, 2007.
The total forecasting period covers the following year, from August
1, 2007 to December 31, 2008. Using the initial in-sample data, we
obtain the 24-hourly predictions (from 01:00 to 24:00 hours) for
August 1, 2007. We calculate the RMSEs and MAPEs on August 1,
2007, using the 24-hourly forecasts. For the forecasts of August
2, 2007, we switch the window of the in-sample data, which ran-
ged from January 2, 2006 to August 1, 2007. These steps are re-
peated until the end of the forecasting period on July 31, 2008.
This procedure provides a total of 366 observations for the daily
RMSEs and the same number of observations for the daily MAPEs.
These observations were used to report the averages of the RMSEs
and MAPEs.
4. Empirical results
In this section, we present the empirical results for forecasting
hourly electricity demand in Korea. The parameter estimation re-
sults and the prediction performances of the main proposed model
are reported in comparison with the six benchmark models.
4.1. Estimation results
The ML method is applied to the parameter estimation of the six
SARMA or SARMAX type models assuming the normality of the er-
ror term. All ML estimates are requested to be significant at the 1%
level. Insignificant variables are deleted from the model. Further-
more, the Akaike information criterion (AIC) and Schwarz’s Bayes-
ian criterion (SBC) are implemented for model selection. Table 2
summarizes the parameter estimation results over all six models
for the data from January 1, 2006 to July 31, 2007. To provide the
overall model comparisons, the AIC and SBC are summarized at
the bottom of the table. The SARMAX-Lag model provides the
smallest values among the six competing models. The SARMAX
(AB) model is followed by the SARMAX (B) model, the SARMAX
(A) model follows the SARMAX (B) model, and the SARMAX (d)
and the SARMA models provide larger AIC and SBC values com-
pared to the other models.
The SARMA model is composed of only lag orders of the AR and
MA parts, where no exogeneous variable is involved. The sets of
significant lags of the AR and MA parts are p = (1, 2, 5, 12),
q = (1, 5), P1 = (12, 24, 72, 96, 144), Q1 = (48, 144), P2 = (168, 672),
and Q2 = (168, 672). The lengths of the intraday and intraweek cy-
cles are denoted by s1 and s2, which correspond to 24 and 168,
respectively (see Taylor (2010) p. 141) for more details).
 M.S. Kim / European Journal of Operational Research xxx (2013) xxx–xxx 7

Table 2
Maximum likelihood estimates of the models for data from January 1, 2006 to July 31, 2007.

Lag SARMA SARMAX (d) SARMAX (A) SARMAX (B) SARMAX (AB) SARMAX – Lag
AR MA AR MA AR MA AR MA AR MA AR MA
1 1.495 0.091 1.496 0.092 1.402 1.389 1.389 1.412
2 0.542 0.543 0.433 0.419 0.419 0.444
5 0.016 0.066 0.016 0.065 0.043 0.026 0.032 0.048
12 0.012 0.012 0.013 0.012 0.012 0.011
24 0.325 0.325 0.281 0.278 0.277 0.070
48 0.144 0.145 0.151 0.142 0.145 0.182
72 0.111 0.111 0.121 0.123 0.125 0.077
96 0.113 0.114 0.130 0.132 0.133 0.225
144 0.396 0.329 0.395 0.328 0.417 0.335 0.417 0.332 0.414 0.330 0.044
168 1.245 1.167 1.251 1.174 1.059 0.938 1.062 0.938 1.061 0.936 1.086 0.948
672 0.245 0.175 0.251 0.182 0.061 0.063 0.063 0.087

Reg d A – – B A B A B
d/A/B 0.330 0.345 0.263 0.301 0.362
int1 0.760 0.417 0.420
int6 0.572 0.274 0.280
int7 0.659
int8 0.986 0.973 0.581
int9 2.850 2.806 2.780 1.797
int10 5.092 4.777 4.753 2.959
int11 4.559 4.597 4.575 2.631
int12 3.806 4.086 4.062 0.860 1.481
int13 1.168 1.139
int14 1.339 2.106 0.797 1.513 1.251
int15 1.941 2.536 2.500 1.763
int16 1.921 2.375 2.320 1.597
int17 2.383 2.466 1.831 1.079 1.884
int18 1.891 1.915 2.551 1.467
int19 0.801 1.192 0.768 0.553 0.414
int20 0.498 0.455
int21 0.347 0.352

lag24 0.254
lag72 0.235
lag96 0.340
lag672 0.064

AIC SBC AIC SBC AIC SBC AIC SBC AIC SBC AIC SBC
32,472 32,600 32,465 32,601 30,777 30,988 30,631 30,865 30,565 30,822 30,183 30,408
Rank 6 5 5 6 4 4 3 3 2 2 1 1

Notes. All the ML estimates are significant at the 1% level.

Table 3
Averages of daily RMSEs and daily MAPEs during the month, total period, special days, and non-special days.

Period SARMA SARMAX (d) SARMAX (A) SARMAX (B) SARMAX (AB) SARMAX-Lag SES
RMSE MAPE RMSE MAPE RMSE MAPE RMSE MAPE RMSE MAPE RMSE MAPE RMSE MAPE
August 2007 1379 2.29 1375 2.28 1321 2.21 1319 2.21 1313 2.20 1321 2.20 1622 2.98
September 2007 1775 3.85 1756 3.81 1737 3.76 1680 3.60 1680 3.60 1749 3.77 2320 5.40
October 2007 765 1.50 753 1.48 740 1.46 731 1.44 729 1.43 809 1.58 1261 2.49
November 2007 609 1.10 604 1.09 590 1.06 578 1.04 577 1.04 612 1.10 980 1.86
December 2007 1295 2.23 1279 2.20 1240 2.14 1227 2.12 1224 2.11 1271 2.20 1448 2.63
January 2008 1389 2.32 1376 2.30 1349 2.27 1356 2.28 1350 2.27 1474 2.47 1918 3.35
February 2008 2199 4.24 2187 4.22 2139 4.17 2056 4.00 2051 3.99 2086 4.07 2847 5.58
March 2008 683 1.22 686 1.22 649 1.17 646 1.16 645 1.16 711 1.27 1412 2.67
April 2008 615 1.15 617 1.15 619 1.16 620 1.16 622 1.16 599 1.11 1074 2.13
May 2008 1313 2.62 1306 2.60 1236 2.49 1253 2.53 1244 2.51 1268 2.53 1920 3.95
June 2008 812 1.51 791 1.46 789 1.46 774 1.44 765 1.42 830 1.54 1466 2.93
July 2008 1007 1.69 1014 1.70 1000 1.68 1001 1.68 995 1.67 1020 1.72 1488 2.71
August 2008 1054 1.85 1047 1.84 1034 1.83 1039 1.83 1038 1.83 1003 1.77 1346 2.61
September 2008 1616 3.19 1601 3.16 1588 3.15 1565 3.09 1556 3.07 1562 3.07 1867 3.80
October 2008 647 1.25 643 1.24 627 1.23 645 1.27 630 1.24 655 1.27 1183 2.33
November 2008 659 1.18 680 1.22 683 1.23 690 1.25 687 1.24 715 1.29 1112 2.11
December 2008 1237 2.16 1232 2.14 1190 2.09 1190 2.09 1186 2.08 1186 2.09 1301 2.36
Total 1118 2.07 1112 2.06 1087 2.02 1078 2.00 1073 2.00 1108 2.05 1559 3.04
R.P. 1.041 1.038 1.036 1.031 1.013 1.015 1.004 1.004 1.000 1.000 1.032 1.030 1.452 1.525
Special 4824 10.62 4770 10.50 4474 10.03 4376 9.74 4342 9.68 4551 10.09 4898 11.27
R.P. 1.111 1.097 1.099 1.084 1.030 1.035 1.008 1.006 1.000 1.000 1.048 1.042 1.128 1.164
No-spec. 930 1.64 926 1.63 916 1.62 911 1.61 908 1.61 933 1.65 1390 2.63
R.P. 1.025 1.020 1.020 1.015 1.008 1.008 1.003 1.003 1.000 1.000 1.028 1.026 1.531 1.635

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search (2013), http://dx.doi.org/10.1016/j.ejor.2013.03.039
 8
search (2013), http://dx.doi.org/10.1016/j.ejor.2013.03.039
Please cite this article in press as: Kim, M.S. Modeling special-day effects for forecasting intraday electricity demand. European Journal of Operational Re-

Table 4
RMSEs across 24 hours of a day during the total period, special days, and non-special days.

Forecasting horizons
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 Avg.
Total
SARMA 218 290 324 328 372 486 723 1174 1927 2379 2427 2428 2065 2327 2448 2420 2448 2309 2057 1844 1651 1440 1237 1225 1523
SARMA (d) 219 290 323 325 366 477 711 1160 1913 2364 2413 2415 2052 2314 2435 2406 2433 2293 2043 1830 1638 1428 1227 1216 1512
SARMAX (A) 215 291 331 344 395 525 768 1193 1711 2049 2143 2201 2078 2258 2351 2335 2324 2207 2032 1865 1675 1462 1255 1238 1469
SARMAX (B) 215 293 333 345 394 520 750 1159 1650 1978 2074 2148 2057 2224 2306 2294 2292 2186 2000 1838 1665 1463 1256 1237 1445

M.S. Kim / European Journal of Operational Research xxx (2013) xxx–xxx

SARMAX (AB) 215 293 332 344 393 519 749 1157 1647 1973 2066 2138 2046 2213 2292 2279 2280 2174 1993 1827 1656 1458 1252 1235 1439
SARMAX-Lag 220 293 333 345 391 508 749 1188 1791 2172 2248 2292 2087 2297 2400 2382 2385 2255 2048 1856 1664 1450 1247 1243 1494
SES 1228 1287 1320 1345 1411 1525 1609 1705 2137 2479 2482 2459 2137 2365 2490 2492 2543 2448 2254 2145 2057 1983 1989 2056 1998
Special
SARMA 335 382 389 502 783 1196 2148 3797 6412 7932 8078 7997 6502 7411 7784 7611 7674 7281 6460 5763 5137 4463 3833 3800 4736
SARMA (d) 360 403 402 502 775 1179 2121 3762 6373 7890 8035 7953 6462 7367 7738 7563 7623 7228 6411 5720 5099 4428 3799 3765 4707
SARMAX (A) 320 390 424 577 874 1347 2308 3871 5571 6616 6933 7072 6578 7134 7402 7282 7181 6884 6375 5869 5240 4555 3912 3873 4525
SARMAX (B) 323 398 427 570 855 1304 2210 3719 5282 6241 6569 6784 6482 6964 7175 7071 7004 6769 6204 5734 5177 4554 3911 3869 4400
SARMAX (AB) 317 393 421 564 853 1303 2209 3718 5273 6224 6539 6745 6434 6921 7109 6999 6970 6747 6194 5683 5137 4534 3898 3861 4377
SARMAX-Lag 327 376 405 560 862 1282 2239 3794 5648 6791 7071 7244 6622 7243 7522 7407 7345 7012 6389 5821 5211 4536 3907 3873 4562
SES 2962 3047 3027 2978 2935 2939 2965 3578 5709 7257 7428 7375 5976 6912 7388 7354 7536 7270 6489 5961 5511 5132 4938 4987 5319
Non-spec.
SARMA 211 285 321 317 338 419 562 847 1350 1661 1699 1720 1529 1706 1798 1794 1821 1708 1528 1375 1236 1081 930 920 1132
SARMA (d) 210 283 318 313 332 410 551 835 1337 1650 1688 1710 1520 1696 1788 1785 1811 1697 1518 1365 1226 1072 923 914 1123
SARMAX (A) 209 285 325 328 354 444 592 859 1227 1482 1546 1600 1532 1668 1742 1744 1751 1649 1511 1383 1248 1093 938 923 1101
SARMAX (B) 209 287 327 330 355 445 587 843 1204 1462 1528 1586 1523 1657 1727 1731 1743 1644 1502 1373 1248 1095 939 923 1094
SARMAX (AB) 208 287 327 329 354 443 585 840 1201 1459 1523 1582 1518 1649 1721 1725 1733 1632 1494 1368 1244 1093 937 921 1091
SARMAX-Lag 213 288 328 331 351 433 580 869 1326 1619 1667 1692 1535 1699 1785 1784 1802 1689 1530 1380 1239 1080 928 930 1128
SES 1068 1127 1169 1204 1287 1417 1508 1551 1774 1947 1918 1897 1729 1860 1937 1946 1979 1903 1791 1742 1706 1673 1709 1784 1651
search (2013), http://dx.doi.org/10.1016/j.ejor.2013.03.039
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Table 5
MAPEs across 24 hours of a day during the total period, special days, and non-special days.

Forecasting horizons
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 Avg.
Total
SARMA 0.40 0.57 0.65 0.66 0.72 0.88 1.18 1.68 2.50 3.02 3.09 3.12 2.87 3.14 3.28 3.26 3.28 3.04 2.66 2.34 2.13 1.91 1.64 1.70 2.072
SARMA (d) 0.40 0.57 0.64 0.66 0.71 0.87 1.16 1.67 2.48 3.01 3.07 3.10 2.86 3.12 3.26 3.25 3.26 3.02 2.64 2.33 2.12 1.89 1.63 1.69 2.058
SARMAX (A) 0.39 0.57 0.66 0.69 0.75 0.94 1.25 1.73 2.30 2.71 2.80 2.89 2.89 3.07 3.18 3.18 3.15 2.95 2.64 2.38 2.17 1.94 1.66 1.72 2.025
SARMAX (B) 0.39 0.57 0.66 0.69 0.75 0.93 1.22 1.69 2.23 2.63 2.74 2.84 2.88 3.04 3.14 3.14 3.12 2.93 2.61 2.36 2.17 1.95 1.66 1.72 2.003

M.S. Kim / European Journal of Operational Research xxx (2013) xxx–xxx

SARMAX (AB) 0.39 0.57 0.66 0.69 0.75 0.93 1.22 1.68 2.23 2.63 2.73 2.83 2.86 3.03 3.13 3.12 3.11 2.91 2.60 2.35 2.16 1.94 1.66 1.71 1.995
SARMAX-Lag 0.40 0.57 0.67 0.69 0.75 0.92 1.22 1.73 2.41 2.85 2.93 2.99 2.89 3.11 3.23 3.23 3.22 2.98 2.65 2.38 2.16 1.93 1.65 1.74 2.055
SES 2.01 2.25 2.40 2.56 2.77 3.01 3.12 3.14 3.24 3.38 3.34 3.33 3.12 3.31 3.46 3.50 3.57 3.43 3.15 3.02 2.96 2.91 2.94 3.13 3.043
Special
SARMA 0.70 0.79 0.95 1.19 1.70 2.48 4.75 8.85 15.11 18.38 18.39 18.16 14.92 17.06 18.00 17.76 18.02 16.78 13.98 11.98 10.59 9.11 7.56 7.74 10.622
SARMA (d) 0.74 0.83 0.96 1.20 1.65 2.40 4.64 8.74 14.98 18.26 18.21 17.97 14.74 16.87 17.81 17.57 17.83 16.59 13.80 11.82 10.43 8.96 7.42 7.61 10.500
SARMAX (A) 0.65 0.82 1.04 1.35 1.90 2.81 5.12 9.05 13.07 15.10 15.36 15.66 15.16 16.33 16.89 16.68 16.46 15.53 13.65 12.21 10.82 9.31 7.74 7.92 10.026
SARMAX (B) 0.64 0.84 1.04 1.34 1.86 2.72 4.92 8.69 12.38 14.25 14.58 14.98 14.95 15.95 16.37 16.18 16.05 15.27 13.27 11.91 10.71 9.32 7.74 7.91 9.745
SARMAX (AB) 0.62 0.83 1.03 1.32 1.85 2.71 4.91 8.68 12.36 14.21 14.52 14.88 14.83 15.84 16.20 16.00 15.92 15.16 13.21 11.79 10.63 9.28 7.71 7.90 9.683
SARMAX-Lag 0.68 0.79 0.98 1.30 1.87 2.72 4.98 8.88 13.25 15.51 15.70 15.96 15.15 16.44 17.06 16.89 16.75 15.73 13.64 12.06 10.72 9.28 7.79 7.97 10.088
SES 5.47 5.79 5.82 5.94 6.20 6.53 6.85 8.32 12.41 16.22 16.37 16.16 13.11 15.17 16.37 16.38 16.89 15.98 13.48 12.06 10.97 9.63 8.90 9.41 11.266
Non-spec.
SARMA 0.38 0.56 0.63 0.63 0.67 0.80 1.00 1.32 1.86 2.25 2.31 2.36 2.26 2.43 2.53 2.53 2.53 2.35 2.08 1.86 1.71 1.54 1.34 1.40 1.639
SARMA (d) 0.38 0.55 0.63 0.63 0.66 0.79 0.99 1.31 1.85 2.23 2.30 2.35 2.25 2.43 2.53 2.53 2.53 2.33 2.07 1.85 1.70 1.53 1.33 1.39 1.631
SARMAX (A) 0.38 0.56 0.64 0.65 0.69 0.84 1.05 1.36 1.75 2.08 2.17 2.24 2.27 2.40 2.49 2.49 2.48 2.31 2.08 1.88 1.74 1.57 1.35 1.40 1.620
SARMAX (B) 0.38 0.56 0.65 0.66 0.70 0.84 1.03 1.34 1.72 2.05 2.14 2.23 2.26 2.39 2.47 2.48 2.47 2.30 2.07 1.88 1.74 1.57 1.36 1.40 1.612
SARMAX (AB) 0.38 0.56 0.64 0.66 0.69 0.83 1.03 1.33 1.72 2.04 2.13 2.22 2.25 2.38 2.46 2.47 2.46 2.29 2.06 1.87 1.73 1.57 1.35 1.40 1.606
SARMAX-Lag 0.38 0.56 0.65 0.66 0.69 0.83 1.03 1.37 1.86 2.21 2.28 2.33 2.27 2.44 2.54 2.54 2.53 2.33 2.10 1.89 1.73 1.55 1.34 1.43 1.648
SES 1.83 2.07 2.23 2.39 2.60 2.84 2.93 2.88 2.77 2.73 2.68 2.68 2.61 2.71 2.80 2.85 2.89 2.80 2.62 2.56 2.56 2.57 2.63 2.81 2.627

9
10 M.S. Kim / European Journal of Operational Research xxx (2013) xxx–xxx
Fig. 4. MAPEs across different forecast horizons during (a) special days and (b) non-special days.
In SARMAX-type models, significant lag orders in the SARMA er-
ror play roles similar to those of the lags in the SARMA model. Un-
like the SARMA model, however, SARMAX-type models hold
exogeneous variables, which explain the special-day effects. SAR-
MAX-type models have a significant negative special-day effect,
which reflects the fact that a designated period of special-days
has relatively lower demand than the rest of the period. In partic-
ular, we use ‘‘d’’ in Table 2 in order to denote the coefficient of the
daily-based special-day effect for SARMAX (d). In this study, we de-
tect the significant interaction effects between the hour-of-special-
day effect and the hour-of-day effect. These results imply that the
interaction effect may improve the models’ prediction accuracies.
The notation ‘‘int k’’ indicates the existence of an interaction term
corresponding to the kth hour of a day in Table 2.
The SARMAX-Lag model additionally includes the dependent
lag variables in its function of predictor variables. For example,
‘‘lag24’’ indicates yt24, which represents significant autocorrela-
tion for a day. We find periodic autocorrelations on 1 day, 3 days,
4 days, and 28 days.
Regarding the SES, various combinations of smoothing weights
are attempted and selected in order to obtain the minimum RMSE
for the total period. The SES with a single intraweek seasonal cycle
provided better forecasting fits than that with an intraday seasonal
cycle or that with both cycles combined. Therefore, the SES with an
intraweek cycle is applied and reported. We use the software SAS
9.1 to obtain the forecasting outcomes.
4.2. Prediction results
The averages of the RMSEs and MAPEs are calculated to com-
pare the prediction performances between the main model and
the six benchmark models. Table 3 summarizes the results of the
RMSEs and MAPEs on a monthly basis as well as over the entire
period. The results show that the SARMAX (AB) model tends to
outperform the other models over several months; it also records
lower RMSEs and MAPEs. For a more detailed comparison, we re-
port the relative percentages (RPs) of the averages of the models’
RMSEs and MAPEs over the total period. This value is obtained
by dividing the averages of the RMSEs and MAPEs of each model
by those of the SARMAX (AB) model. The RPs of all the other mod-
els exceed 1; thus, the SARMAX (AB) model is superior to its com-
petitors over the entire time horizon. In Table 2, the SARMAX-Lag
model reports the best AIC and SBC values among the candidate
Please cite this article in press as: Kim, M.S. Modeling special-day effects for forecasting intraday electricity demand. European Journal of Operational Re-
search (2013), http://dx.doi.org/10.1016/j.ejor.2013.03.039
models; however, its prediction accuracy is not very good (see Ta-
ble 3). We suspect overfitting in the SARMAX-Lag model.
Prediction performances over the total period, in terms of lower
RMSEs and MAPEs, are ranked in the following order: SARMAX
(AB), SARMAX (B), SARMAX (A), SARMAX-Lag, SARMAX (d), SARMA
models, and SES. The SARMAX (AB) model with both types of spe-
cial-day effects performs the best, followed by the SARMAX (B)
model, as evidenced by the slight difference in both the RMSE
and MAPE. The SARMAX (A) and the SARMAX-Lag models follow
the SARMAX (B) model. The traditional seasonal time series mod-
els, SARMA and SARMAX (d), perform relatively poorly, while the
SES ranks last. With respect to the SARMAX (AB) model, the RPs
of the averages of the RMSEs and MAPEs are around 104% in the
SARMA and SARMA (d) models. In the case of SES, the RPs are
around 145–153%.
Additionally, we consider comparing model performances on
special and non-special days (summarized at the bottom of Ta-
ble 3). Reviewing the case over the total period, we find that the
SARMAX (AB) model performs the best for both special and non-
special days. The order of model performances is almost the same
as that during the total period, except that the SARMAX-Lag model
provides poor performance on non-special days. The RPs of the
RMSEs and MAPEs in the SARMA, SARMA (d), and SES models are
around 108–116% on special days; this implies that the suggested
method significantly helps reduce forecasting errors on special
days. On the other hand, the RPs in the SARMA, SARMA (d), and
SES models on non-special days are around 101–164%. In sum-
mary, the analysis results indicate that the proposed approach al-
lows us to capture the special-days effect more effectively and
also help improve the prediction accuracy over the non-special
day period.
In order to obtain a more detailed and informative comparison
of the forecasting results among models, additional RMSEs and
MAPEs are calculated for different lead times. The RMSEs and
MAPEs for each model for a given lead time are reported across dif-
ferent hours of a day during the total period, special days, and non-
special days in Tables 4 and 5, respectively. The overall model
ranks for the considered periods appear unchanged for the daily
RMSEs and MAPEs.
Fig. 4 shows a graphical comparison that provides conclusive
evidence of the superiority of the proposed main model; the
MAPEs for each model are illustrated for special and non-special
days in Fig. 4a and b, respectively. We omit depicting the RMSEs
graphically as their presentation is similar to that of the MAPEs.
 M.S. Kim / European Journal of Operational Research xxx (2013) xxx–xxx
Most MAPEs increase rapidly from around 07:00 hours and main-
tain a high value between 10:00 and 19:00 hours. Thereafter, they
begin to decrease. This pattern is similar to that of the intraday
electricity demand. The prediction error might get magnified as
the level of volume increases. According to Fig. 4, the SARMAX
(AB) model outperformed the other models across many forecast-
ing time horizons. These additional results lend strength to our be-
lief in the superiority of the suggested approach.
5. Conclusion
This paper suggested a novel method that efficiently reflects
special-day effects using electricity demand data for Korea. We
modeled the special-day effects on an hourly rather than a daily
basis. These hourly-based special-day effects were specified using
several variables. The first variable differentiated between the
extraordinary intraday pattern and the ordinary pattern of special
days. The second variable classified the strength of the abnormal-
ity. The two variables were included in the regression model with
a stochastic disturbance. The model used the double SARMA mech-
anism in order to catch the intraday and intraweek autocorrela-
tions of electricity demand. To capture a more accurate intraday
pattern of special days, the interaction term between the hourly-
based special-day effect and the hour-of-day effect was also
employed.
The proposed model was compared to several benchmark mod-
els, namely, an SES model, a traditional SARMA model, the SAR-
MAX model with daily-based special-day effects, and SARMAX
models with only one of the two variables specifying the hourly-
based special-day effect. We also added the lagged dependent vari-
ables to the main model and compared performances among the
models. The candidate models were then employed for next-day
forecasting for the following year, and the prediction accuracy
was measured using daily-based RMSEs and MAPEs. We found that
the proposed model outperformed its counterparts during the total
forecasting period as well as during the special-day forecasting
period. These results were confirmed through additional analyses
using the RMSEs and MAPEs for the given lead times. Thus, the pro-
posed model’s superiority was proved in the empirical analysis and
further verified through the distributions of the two variables spec-
ifying the hourly-based special-day effects via a simple graphical
comparison.
Thus, the empirical study suggested that the hourly-based spe-
cial-day modeling approach provides better forecasting outcomes
than many benchmark models, including the daily-based special-
day modeling approach. We recommend that the method proposed
in this study be applied toward the forecasting of versatile intraday
time series data with special-day effects.
Acknowledgements
I am very grateful to Editor Immanuel Bomze, Professor Ralph
Snyder, and two anonymous referees for their helpful comments
and suggestions. This work has been supported by a research grant
Please cite this article in press as: Kim, M.S. Modeling special-day effects for forecasting intraday electricity demand. European Journal of Operational Re-
search (2013), http://dx.doi.org/10.1016/j.ejor.2013.03.039
11
from the Korea Sanhak Foundation, research Grant (201010024.01)
from the Sogang University, and the Sogang Business School’s
World Class University Project (R31-20002) funded by the Korea
Research Foundation.
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