Research On The GARCH Model To Predict System Marginal Price

System marginal price is an important index which could reflect the power commodity's short time relation of supply and demand in power market. Besides, it is also the economic band to contact each member in the market. So forecasting the system marginal price exactly is important.This paper constructed a new forecasting model by GARCH based on the marginal price's variational characteristic. Then the forecasting of electric price's precision has been improved. First, this paper took the analysis of the system marginal price's heteroscedasticity characteristic in different electric market. Second, GARCH method based new forecasting model of system marginal price had been contributed. Finally this paper proved the precision and efficiency of the new model by the practical example analysis used the practical data of British and New South Wales of Australia's electric market.