Modelowanie ekonometryczne i prognozowanie cen energii elektrycznej na rynku dnia bieżącego  
[Econometric modelling and forecasting of intraday electricity prices]

Michał Narajewski (HEMF, Universität Duisburg-Essen, D)  


We analyse the ID3-Price in the German intraday electricity market using an 
econometric time series model. A multivariate approach is conducted for 
hourly and quarter-hourly products separately. We estimate the model using 
LASSO and elastic net techniques and perform an out-of-sample very short-term 
forecasting study. The model's performance is compared with benchmark models 
and is discussed in detail. Forecasting results provide new insights to the 
German intraday electricity market regarding its efficiency and to the 
ID3-Price behavior.