Project 03
Time-series forecasting and multivariate modeling of Italy's energy market dynamics.
Overview
This study analyzed the dynamic relationships between natural gas prices, renewable energy production, and the Italian national electricity price (PUN) over 2021–2025. Using a combination of univariate SARIMA, VAR, transfer function, and cointegration models, we identified short- and long-term interactions, highlighting the dominant role of gas in price formation, and provided predictive evidence that TFM_Gas is superior for short- to medium-term forecasting.
Insight
Gas prices remain the main driver of the PUN, with renewables having secondary, mediated effects. VAR and transfer function models reveal unidirectional causality from gas to PUN, with short-term dynamics captured more effectively by transfer function models. Despite market turbulence in 2022, the modeling framework provides actionable insights for energy market monitoring.
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