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

Abdou Ka Diongue, Dominique Guégan and Bertrand Vignal

Applied Energy, 2009, vol. 86, issue 4, 505-510

Abstract: In this article, we investigate conditional mean and conditional variance forecasts using a dynamic model following a k-factor GIGARCH process. Particularly, we provide the analytical expression of the conditional variance of the prediction error. We apply this method to the German electricity price market for the period August 15, 2000-December 31, 2002 and we test spot prices forecasts until one-month ahead forecast. The forecasting performance of the model is compared with a SARIMA-GARCH benchmark model using the year 2003 as the out-of-sample. The proposed model outperforms clearly the benchmark model. 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; Electricity; prices; Forecast; GIGARCH; process (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (41)

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Related works:
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 (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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