New SAS data importer
by Allin Cottrell
In CVS and snapshots I've added an importer for SAS datafiles (in
"xport" format).
This is not tested very thoroughly yet, so any comments would be
appreciated.
There is one known limitation: SAS xport files may contain more
than one dataset, but in that case at present we only attempt to
open the first one. I don't know common the multiple-dataset case
is.
Allin Cottrell
15 years, 5 months
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GARCH for day-ahead electricity prices
by Saqib Ilyas
Hi all
I am using the 2006 till 2009 data for the New England pool of day-ahead
weighted average prices. I am not very fluent with econometrics, but I read
in some papers that GARCH has been used successfully to forecast electricity
wholesale prices. When I train a GARCH model on one year worth of data, and
forecast for the last 3 days of training data, I get a mean absolute error
of 3.6642%. The error increases to 27.826% when I use two years worth of
data, and decreases to 17.123% when using three years worth of past data. Is
this expected?
Also, when I plot the actual and fitted data against time, the GARCH model
seems to have done a really bad job, compared to a default ARIMA model. I'm
guessing this might be because people are actually using ARIMA models with
(added) GARCH errors, so a simple GARCH model-based forecast isn't doing
exactly what they have done. Am I right? Why would the ARIMA be a better fit
than GARCH?
One author mentioned that they took a log of the prices (in their case it
was hourly prices) before fitting a GARCH model. In your opinion, is that an
important factor in the kind of errors I am getting?
Thanks and best regards
--
Muhammad Saqib Ilyas
PhD Student, Computer Science and Engineering
Lahore University of Management Sciences
15 years, 5 months
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