. Forecasting electricity spot market prices with a k-factor GIGARCH process. Applied Energy, Elsevier, 2009, 86 (4) Forecasting electricity spot market prices with a k-factor GIGARCH process.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 model. We conclude that the k-factor GIGARCH process is a suitable tool to forecast spot prices, using the classical RMSE criteria.