The work described in this here results from a problem proposed by the company EDP - Energy Solutions Operator, in the framework of ESGI 119th, European Study Group with Industry, during July 2016. Markets for electricity have two characteristics: the energy is mainly not storable and volatile prices at exchanges are issues to take into consideration. These two features, between others, contribute significantly to the risk of a planning process. The aim of the problem is the short term forecast of hourly energy prices. In present work, ARIMA modeling is considered to obtain a predictive model. The results show that in the time series traditional framework the season of the year, month or winter/summer period revealed significant explanatory variables in the different estimated models. The in-sample forecast is promising, conducting to adequate measures of performance.

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Electricity Price Forecasting,ARIMA models,MIBEL