Price determinants in the German Intraday Power market
Translated title
Fundamentale variable der driver det tyske Intraday marked
Author
Term
4. term
Education
Publication year
2025
Submitted on
2025-06-01
Pages
59
Abstract
This thesis investigates the determinants of the price spread between the German day-ahead and intraday power markets, focusing specifically on fundamental factors and identifying systematic temporal patterns. Utilizing hourly price data from EPEX SPOT and relevant fundamental data from the years 2023-2024, the analysis employs econometric models including OLS, ARX, and GARCH to evaluate how forecast deviations in electricity demand (load) and renewable energy generation (wind and solar), unplanned generation outages, and cross-border electricity flows affect the price spread. The findings show that forecast errors in wind and solar generation are highly significant in explaining the spread, with actual underproduction leading to higher intraday prices relative to day-ahead, and overproduction driving prices lower. While most results align with theoretical expectations, load forecast errors surprisingly exhibit a negative relationship, indicating that excess demand lowers intraday prices, a deviation from standard assumptions. Among the interconnectors, the DE ↔ FR link stands out as the most statistically significant, reflecting its central role in cross-border balancing and market integration. The GARCH model provides additional insight into volatility dynamics, highlighting that variables like residual load and some interconnectors become more influential during periods of market stress. Moreover, the analysis identifies clear intraday and weekly patterns. Wind forecast errors are the only significant factor during night hours, while solar deviations dominate midday. Load and net exports are mainly relevant during mid-peak hours, and outages primarily impact evening prices. On a weekly level, Monday exhibits the strongest sensitivity to forecast errors, suggesting elevated uncertainty after weekends.
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