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.

MoreLess

Year of publication:	2009-04
Authors:	Diongue, Abdou Kâ ; Guegan, Dominique ; Vignal, Bertrand
Institutions:	HAL
Subject:	Conditional mean \| conditional variance \| forecast \| electricity prices \| GIGARCH process

More details

Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00307606 Published, Applied Energy, 2009, 86, 4, 505-510
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010738481