Asymmetric GARCH type models for asymmetric volatility characteristics analysis and wind power forecasting

Hao Chen; Jianzhong Zhang; Yubo Tao; Fenglei Tan

doi:10.1186/s41601-019-0146-0

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Asymmetric GARCH type models for asymmetric volatility characteristics analysis and wind power forecasting

Original Research | 更新时间：2025-12-19

- Asymmetric GARCH type models for asymmetric volatility characteristics analysis and wind power forecasting
- Asymmetric GARCH type models forasymmetric volatility characteristics analysisand wind power forecasting
- 现代电力系统保护与控制（英文） 2019年4卷第4期页码：1-11
- 作者机构：
  
  1. State Grid Jiangsu Electric Power Co., Ltd, Maintenance Branch Company,Jiangsu,Nanjing,China
  2. Southeast University,Jiangsu,Nanjing,China
- 作者简介：
- 基金信息：
- DOI：10.1186/s41601-019-0146-0
  中图分类号：
- 纸质出版：2019
- 稿件说明：
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Hao Chen, Jianzhong Zhang, Yubo Tao, 等. Asymmetric GARCH type models for asymmetric volatility characteristics analysis and wind power forecasting[J]. 现代电力系统保护与控制（英文）, 2019,4(4):1-11.

Hao Chen, Jianzhong Zhang, Yubo Tao, et al. Asymmetric GARCH type models forasymmetric volatility characteristics analysisand wind power forecasting[J]. Protection and Control of Modern Power Systems, 2019, 4(4): 1-11.
Hao Chen, Jianzhong Zhang, Yubo Tao, 等. Asymmetric GARCH type models for asymmetric volatility characteristics analysis and wind power forecasting[J]. 现代电力系统保护与控制（英文）, 2019,4(4):1-11. DOI： 10.1186/s41601-019-0146-0.

Hao Chen, Jianzhong Zhang, Yubo Tao, et al. Asymmetric GARCH type models forasymmetric volatility characteristics analysisand wind power forecasting[J]. Protection and Control of Modern Power Systems, 2019, 4(4): 1-11. DOI： 10.1186/s41601-019-0146-0.

摘要

Wind power forecasting is of great significance to the safety

reliability and stability of power grid. In this study

the GARCH type models are employed to explore the asymmetric features of wind power time series and improved forecasting precision. Benchmark Symmetric Curve (BSC) and Asymmetric Curve Index (ACI) are proposed as new asymmetric volatility analytical tool

and several generalized applications are presented. In the case study

the utility of the GARCH-type models in depicting time-varying volatility of wind power time series is demonstrated with the asymmetry effect

verified by the asymmetric parameter estimation. With benefit of the enhanced News Impact Curve (NIC) analysis

the responses in volatility to the magnitude and the sign of shocks are emphasized. The results are all confirmed to be consistent despite varied model specifications. The case study verifies that the models considering the asymmetric effect of volatility benefit the wind power forecasting performance.

Abstract

Wind power forecasting is of great significance to the safety

reliability and stability of power grid. In this study

and several generalized applications are presented. In the case study

the utility of the GARCH-type models in depicting time-varying volatility of wind power time series is demonstrated with the asymmetry effect

verified by the asymmetric parameter estimation. With benefit of the enhanced News Impact Curve (NIC) analysis

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