A RBF neural network model with GARCH errors: Application to electricity price forecasting

作者：dos Santos Coelhoa Leandro; Santos Andre A P^*

来源：Electric Power Systems Research, 2011, 81(1): 74-83.

DOI：10.1016/j.epsr.2010.07.015

• Spanish pool
• Point forecast
• Direction-of-change forecast
• Maximum likelihood
• Genetic algorithm

In this article, we propose a nonlinear forecasting model based on radial basis function neural networks (RBF-NNs) with Gaussian activation functions and robust clustering algorithms to model the conditional mean and a parametric generalized autoregressive conditional heteroskedasticity (GARCH) specification to model the conditional volatility. Instead of calibrating the parameters of the RBF-NNs via numerical simulations, we propose an estimation procedure by which the number of basis functions, their corresponding widths and the parameters of the GARCH model are jointly estimated via maximum likelihood along with a genetic algorithm to maximize the likelihood function. We use this model to provide multi-step-ahead point and direction-of-change forecasts of the Spanish electricity pool prices.

• 出版日期2011-1