05-091/4 - Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices

• Authors
  Siem Jan Koopman, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; Marius Ooms, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; M. Angeles Carnero, Dpt. Fundamentos del Analisis Economico, University of Alicante
• Publication date
  October 12, 2005

• Keywords
  Autoregressive fractionally integrated moving average model; Generalised autoregressive conditional heteroskedasticity model; Long memory process; Periodic autoregressive model; Volatility
• JEL
  C22; C51; G10