Mwangi Charles, Prof. Ali Islam, Dr Luke Orawo, Olivia Wanjeri
Abstract: Forecasting electric power prices of a competitive market is important to providing estimates of electricity prices for future days. Forecasting results can be used by generation companies for bidding in the market strategically. The forecast can also be used by the transmission companies can plan a head for scheduling short-term generator outages and design load response programs. The aim of this study is to determine the best model for forecasting the prices of electricity in a competitive market. Thus, we will compare the AR, MA, GARCH, and ARCH model. The study also aims at providing the estimates of electricity prices based on the best model. Other variables that provide energy in the industries will be used to test on the validity of the model. The ARMAX model indicated to be the better than the GARCH model in modeling the electricity prices.
Keywords: AR-model, MA-model, GARCH-model, ARCH-model, stationary,