Tail reliability in probabilistic electricity price forecasts: comparing model combination and conformal prediction in the GB day-ahead market

Abstract

Probabilistic forecasts of day-ahead electricity prices are increasingly used to manage price risk, yet competing models are usually ranked on aggregate scores that average over the price regimes in which uncertainty matters most. This study evaluates probabilistic forecasts of hourly EPEX SPOT GB day-ahead prices over a full held-out calendar year, applying a common pre-auction information boundary and rolling-origin design to linear quantile regression, a quantile regression forest (QRF), a LEAR-QRA benchmark and an encoder-decoder quantile long short-term memory (LSTM) network. Two routes to more reliable intervals are then compared: conformal recalibration and Quantile Regression Averaging (QRA). Aggregate scores separate the LSTM and QRF only weakly, with a non-significant 4.4% difference in continuous ranked probability score (CRPS), but their conditional behaviour differs sharply. Above 200 GBP/MWh the LSTM covered 0.12 of outcomes and QRF 0.71, consistent with the forest retaining realised spikes in its leaf distributions while the network learned a smooth upper tail. Conformal recalibration corrected marginal coverage but did not improve the interval score or materially repair spike coverage. QRA combining the LSTM, QRF and LEAR-QRA forecasts reduced CRPS to 5.14 GBP/MWh and raised coverage above 200 GBP/MWh to 0.65 at unchanged interval width. Recalibration and combination therefore address different failures and are not substitutes.