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

被引:69
作者
Diongue, Abdou Ka [1 ]
Guegan, Dominique [2 ]
Vignal, Bertrand [3 ]
机构
[1] Univ Gaston Berger St Louis, UFR SAT, St Louis, Senegal
[2] Univ Paris 01, CES MSE, Paris Sch Econ, F-75647 Paris 13, France
[3] Ingenieur EDF R&D, F-92141 Clamart, France
关键词
Conditional mean; Conditional variance; Electricity prices; Forecast; GIGARCH process;
D O I
10.1016/j.apenergy.2008.07.005
中图分类号
TE [石油、天然气工业]; TK [能源与动力工程];
学科分类号
0807 ; 0820 ;
摘要
In this article, we investigate conditional mean and conditional variance forecasts using a dynamic model following a k-factor GIGARCH process. Particularly, we provide the analytical expression of the conditional variance of the prediction error. We apply this method to the German electricity price market for the period August 15, 2000-December 31, 2002 and we test spot prices forecasts until one-month ahead forecast. The forecasting performance of the model is compared with a SARIMA-GARCH benchmark model using the year 2003 as the out-of-sample. The proposed model outperforms clearly the benchmark model. We conclude that the k-factor GIGARCH process is a suitable tool to forecast spot prices, using the classical RMSE criteria. (C) 2008 Elsevier Ltd. All rights reserved.
引用
收藏
页码:505 / 510
页数:6
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