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

Abdou Ka Diongue, Dominique Guegan and Bertrand Vignal
Additional contact information
Dominique Guegan: Centre d'Economie de la Sorbonne
Bertrand Vignal: EDF

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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 (search for similar items in EconPapers)
JEL-codes: C53 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2007-11, Revised 2009-11
New Economics Papers: this item is included in nep-ene, nep-for and nep-ore
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Citations: View citations in EconPapers (41)

Published in Applied Energy, 86, (4), 2009, pp.505-510

Downloads: (external link)
https://shs.hal.science/halshs-00188264 (application/pdf)
https://doi.org/10.1016/j.apenergy.2008.07.005

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:mse:cesdoc:b07058

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