Forecasting high-frequency electricity demand with a diffusion index model.

Abstract

We propose a discussion index model (Stock and Watson, 2002) to fore-cast electricity demand for one hour to one week ahead. The model isparticularly useful as it captures complicated seasonal patterns in thedata. The forecast performance of the proposed method is illustratedwith a simulated real-time experiment for datafrom the Pennsylvania-New Jersey-Maryland Interchange.seasonality;diffusion index forecast;electricity load