Forecasting electricity spot market prices with a k-factor GIGARCH process
AbstractIn 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Applied Energy.
Volume (Year): 86 (2009)
Issue (Month): 4 (April)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/405891/description#description
Other versions of this item:
- Abdou Kâ Diongue & Dominique Guégan & Bertrand Vignal, 2007. "Forecasting electricity spot market prices with a k-factor GIGARCH process," Documents de travail du Centre d'Economie de la Sorbonne b07058, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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