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

Dominique Guegan (1) , Abdou Kâ Diongue (2) , Bertrand Vignal (3)

1 IDHE - Institutions et Dynamiques Historiques de l'Economie
2 UGB - Université Gaston Berger de Saint-Louis Sénégal
3 EDF - EDF

Some crucial time series of market data, such as electricity spot prices, exhibit long memory, in the sense of slowly-decaying correlations combined with heteroscedasticity. To e able to model such a behaviour, we consider the k-factor GIGARCH process and we propose two methods to address the related parameter estimation problem. For each method, we develop the asymptotic theory for this estimation.

Mots clés: GIGARCH process; estimation theory; Electricity spot prices.; Electricity spot prices

Domaines: Economies et finances; Probabilités [math.PR]; Statistiques [math.ST]; Théorie [stat.TH]

Dominique Guegan, Abdou Kâ Diongue, Bertrand Vignal. A k- factor GIGARCH process : estimation and application to electricity market spot prices,. Probabilistic methods applied to power systems, Jul 2004, United States. pp.1 - 7. ⟨halshs-00188533⟩