Forecasting electricity spot market prices with a k-factor GIGARCH process

Abdou Ka Diongue, Dominique Guegan () and Bertrand Vignal ()
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Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Bertrand Vignal: EDF R&D - EDF R&D - EDF - EDF

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Abstract: In this article, we investigate conditional mean and variance forecasts using a dynamic model following a k-factor GIGARCH process. We are particularly interested in calculating the conditional variance of the prediction error. We apply this method to electricity prices and test spot prices forecasts until one month ahead forecast. We conclude that the k-factor GIGARCH process is a suitable tool to forecast spot prices, using the classical RMSE criteria.

Keywords: Conditional mean; conditional variance; forecast; electricity prices; GIGARCH process; Moyenne conditionnelle; variance conditionnelle; prévisions; prix spot d'électricité (search for similar items in EconPapers)
Date: 2009-04
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00307606v2
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Citations: View citations in EconPapers (40)

Published in Applied Energy, 2009, 86 (4), pp.505-510. ⟨10.1016/j.apenergy.2008.07.005⟩

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Related works:
Journal Article: Forecasting electricity spot market prices with a k-factor GIGARCH process (2009)
Working Paper: Forecasting electricity spot market prices with a k-factor GIGARCH process (2009)
Working Paper: Forecasting electricity spot market prices with a k-factor GIGARCH process (2009)
Working Paper: Forecasting electricity spot market prices with a k-factor GIGARCH process (2009)
Working Paper: Forecasting electricity spot market prices with a k-factor GIGARCH process (2007)
Working Paper: Forecasting electricity spot market prices with a k-factor GIGARCH process (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00307606

DOI: 10.1016/j.apenergy.2008.07.005

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