Long-term modelling of electricity market prices remains a challenging task. Fundamental models can readily account for the drivers of mean electricity price level movements, but often fail to capture essential short-term price curve characteristics like high volatility and negative prices. Without such level of detail for the modelled prices, conclusions about the profitability of storage operations from an actor's perspective are hard to obtain.
Here, we present a hybrid fundamental-econometric approach capable of reproducing both the short-term stylized facts and the long-term overall levels of day-ahead wholesale market prices obtained at the EEX with a high degree of accuracy, including a low mean average error, the reproduction of negative prices and a high volatility
