Forecasting electricity spot market prices with a k-factor GIGARCH process
Journal article: 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.
Author(s)
Abdou Kâ Diongue, Dominique Guegan, Bertrand Vignal
Journal
- Applied Energy
Date of publication
- 2009
Keywords
- Conditional mean
- Conditional variance
- Forecast
- Electricity prices
- GIGARCH process
Pages
- 505-510
URL of the HAL notice
Version
- 2
Volume
- 86