Diongue, Abdou Kâ; Guégan, Dominique; Vignal, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007
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...