Forecasting electricity spot market prices with a k-factor GIGARCH process
AbstractIn 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.
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Bibliographic InfoPaper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00307606.
Date of creation: Apr 2009
Date of revision:
Publication status: Published, Applied Energy, 2009, 86, 4, 505-510
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Conditional mean - conditional variance - forecast - electricity prices - GIGARCH process;
Other versions of this item:
- Diongue, Abdou Kâ & Guégan, Dominique & Vignal, Bertrand, 2009. "Forecasting electricity spot market prices with a k-factor GIGARCH process," Applied Energy, Elsevier, vol. 86(4), pages 505-510, April.
- 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.
- Abdou Kâ Diongue & Dominique Guegan & Bertrand Vignal, 2007. "Forecasting electricity spot market prices with a k-factor GIGARCH process," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00188264, HAL.
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-04-25 (All new papers)
- NEP-ALL-2009-12-11 (All new papers)
- NEP-ENE-2009-04-25 (Energy Economics)
- NEP-ENE-2009-12-11 (Energy Economics)
- NEP-FMK-2009-04-25 (Financial Markets)
- NEP-FOR-2009-04-25 (Forecasting)
- NEP-FOR-2009-12-11 (Forecasting)
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