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A k- factor GIGARCH process : estimation and application to electricity market spot prices

Author

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  • Dominique Guegan

    (IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Abdou Kâ Diongue

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

  • Bertrand Vignal

    (EDF - EDF)

Abstract

Some crucial time series of market data, such as electricity spot prices, exhibit long memory, in the sense of slowly-decaying correlations combined with heteroscedasticity. To e able to model such a behaviour, we consider the k-factor GIGARCH process and we propose two methods to address the related parameter estimation problem. For each method, we develop the asymptotic theory for this estimation.

Suggested Citation

  • Dominique Guegan & Abdou Kâ Diongue & Bertrand Vignal, 2004. "A k- factor GIGARCH process : estimation and application to electricity market spot prices," Post-Print halshs-00188533, HAL.
    • Handle: RePEc:hal:journl:halshs-00188533
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00188533
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    References listed on IDEAS

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    1. Cheung, Yin-Wong & Diebold, Francis X., 1994. "On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean," Journal of Econometrics, Elsevier, vol. 62(2), pages 301-316, June.
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    1. 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.
    2. Abdou Kâ Diongue & Dominique Guegan, 2008. "Estimation of k-factor GIGARCH process : a Monte Carlo study," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00235179, HAL.
    3. Diongue Abdou Ka & Dominique Guegan, 2008. "Estimation of k-Factor Gigarch Process: A Monte Carlo Study," Post-Print halshs-00375758, HAL.
    4. Abdou Kâ Diongue & Dominique Guegan, 2008. "The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics," Post-Print halshs-00259225, HAL.
    5. Niels Haldrup & Oskar Knapik & Tommaso Proietti, 2016. "A generalized exponential time series regression model for electricity prices," CREATES Research Papers 2016-08, Department of Economics and Business Economics, Aarhus University.

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