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

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Author Info
Abdou Kâ Diongue () (UFR SAT - Université Gaston Berger - Université Gaston Berger de Saint-Louis)
Dominique Guegan () (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I)
Bertrand Vignal () (EDF - EDF - Recherche et Développement)

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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.

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Paper provided by HAL in its series Pre- and Post-Print documents with number halshs-00188264_v1.

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Date of creation: Nov 2007
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Handle: RePEc:hal:papers:halshs-00188264_v1

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Related research
Keywords: Conditional mean conditional variance forecast electricity prices GIGARCH process.

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This page was last updated on 2008-6-15.

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