Shalom, Helene,

in strictly correct usage, you are their grandniece (not their great-niece) in the
same way as you are the grandfather's granddaughter (not great-daughter). You are
the great-grandniece of your great-grandfather's siblings.

Regrettably, modern (incorrect) usage (which is, unfortunately, supported by many,
but not all, dictionaries) has replaced "grand niece" with "great-niece" and some
dictionaries, even worse, equate grandniece with great-niece, specifying that a
grandniece is the daughter of one's nephew or niece.

You can see the confusing result.

Peter Wyant
Regina, Saskatchewan, Canada