Forecasting electricity spot market prices with a k-factor GIGARCH process
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.
|Date of creation:||Apr 2009|
|Publication status:||Published in Applied Energy, Elsevier, 2009, 86 (4), pp.505-510. <10.1016/j.apenergy.2008.07.005>|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00307606v2|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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