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

Author

Listed:
  • Abdou Kâ Diongue

    (Université Gaston Berger de Saint-Louis)

  • Dominique Guegan

    (Centre d'Economie de la Sorbonne)

  • Bertrand Vignal

    (EDF)

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," Documents de travail du Centre d'Economie de la Sorbonne b07058, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
    • Handle: RePEc:mse:cesdoc:b07058
    DOI: 10.1016/j.apenergy.2008.07.005
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    JEL classification:

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

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