  The liberalization of electricity markets and the development of renewable
energy sources has led to new challenges for decision makers. These challenges
are accompanied by an increasing uncertainty about future electricity price
movements. The increasing amount of papers, which aim to model and predict
electricity prices for a short period of time provided new opportunities for
market participants. However, the electricity price literature seem to be very
scarce on the issue of medium- to long-term price forecasting, which is
mandatory for investment and political decisions. Our paper closes this gap by
introducing a new approach to simulate electricity prices with hourly
resolution for several months up to three years. Considering the uncertainty of
future events we are able to provide probabilistic forecasts which are able to
detect probabilities for price spikes even in the long-run. As market we
decided to use the EPEX day-ahead electricity market for Germany and Austria.
Our model extends the X-Model which mainly utilizes the sale and purchase curve
for electricity day-ahead auctions. By applying our procedure we are able to
give probabilities for the due to the EEG practical relevant event of six
consecutive hours of negative prices. We find that using the supply and demand
curve based model in the long-run yields realistic patterns for the time series
of electricity prices and leads to promising results considering common error
measures.
