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

Author

Listed:
  • Abdou Kâ Diongue

    (UGB - Université Gaston Berger de Saint-Louis Sénégal)

  • Dominique Guegan

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Bertrand Vignal

    (EDF R&D - EDF R&D - EDF [E.D.F.] - EDF – Électricité de France)

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.

Suggested Citation

  • Abdou Kâ Diongue & Dominique Guegan & Bertrand Vignal, 2007. "Forecasting electricity spot market prices with a k-factor GIGARCH process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00188264, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00188264
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00188264v2
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    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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