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

Author

K?¢, Diongue A. ; Dominique, Gu?©gan ; Bertrand, Vignal

Author_Institution

EDF R&D, Clamart

fYear

2004

Firstpage

1

Lastpage

7

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 heteroskedasticity. To be able to modelize such a behavior, we consider the k-factor GIGARCH process. The related parameter estimation problem is addressed using an extension of Whittle´s estimation. We develop the corresponding asymptotic theory for estimation. We apply this approach to the electricity prices (spot prices) from the German energy market (European Energy eXchange). For these data, we propose two models of k-factor GIGARCH processes. To conclude the paper, we analyze in detail the forecasting performances of these models

Keywords

parameter estimation; power markets; time series; European Energy eXchange; German energy market; Whittle estimation; asymptotic theory; electricity spot prices; forecasting performance; heteroskedasticity; k-factor GIGARCH process; market data; parameter estimation; time series; Autoregressive processes; Economic forecasting; Electricity supply industry; Energy exchange; Estimation theory; Frequency; Parameter estimation; Performance analysis; Predictive models; Research and development;

fLanguage

English

Publisher

ieee

Conference_Titel

Probabilistic Methods Applied to Power Systems, 2004 International Conference on

Print_ISBN

0-9761319-1-9

Type

conf

Filename

1378654