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 Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number b07058.
Length: 21 pages
Date of creation: Nov 2007
Date of revision: Nov 2009
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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.
- 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-2008-01-05 (All new papers)
- NEP-ENE-2008-01-05 (Energy Economics)
- NEP-FOR-2008-01-05 (Forecasting)
- NEP-ORE-2008-01-05 (Operations Research)
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