电力期货价格的协整建模与预测

在电力市场环境下，电力期货价格受现货价格、利率和负荷需求等多种因素影响，变化趋势复杂，很难将所有的因素都加以考虑来建立一个准确的模型对其进行全面描述．因此，选取最重要的影响因素：电力现货价格，利用协整理论来研究电力期货价格和现货价格之间的动态关系，并建立向量误差修正模型（VECM），对电力期货价格进行有效的预测．

Forecasting electricity futures price with cointegration model

In the electricity market environment, the electricity futures price is affected by many factors including the spot price, demand, and interest rate, etc. The electricity futures price exhibits extremely complicated variation and it is very difficult to accurately forecast. In this paper, the cointegration theory of econometrics is introduced to effectively handle the non-stationary electricity price, and furtherly the dynamic cointegration relationship between the electricity futures price and spot price are investigated. The vector error correction model（VECM） of electricity futures price forecast is proposed. This model involves not only the long-term cointegration relationship between the non-stationary variables, but also the short-term fluctuation of the stationary variables, achieving the higher forecast precision. Finally, the proposed model is successfully applied to the electricity futures price forecast of the Nordic power market.