Predicting Indian electricity exchange-traded market prices: SARIMA and MLP approach

Abstract

This research investigates the short-term (ST) forecasting performance of the daily prices of the Indian exchange-traded day-ahead (DAM) market, divided into 13 bid areas, each consisting of states with varied fundamentals. Forecasts are built employing SARIMA (seasonal autoregressive integrated moving average) and MLP (multilayer perceptron) methods. Moreover, the robustness and performance of the model is compared using the lowest error and the Diebold–Mariano (DM) test statistic values. The results indicates that the SARIMA model has high prediction accuracy with error values ranging from 1% to 5% with Southern region having the highest error of 4.53% and Northern having the least error of 1.27%. However, validation by the DM test suggests no statistical significant difference between the two models. The power generators, distribution companies, traders, policymakers, strategists and managers could use the findings for effective power management through proper planning.