Forecast of the energy price in colombia: An econometric application [Pronóstico de precio energético em colombia: Una aplicación econométrica]

Forecasting the price of electric energy is of the utmost importance for entrepreneurs, academics and regulators, as this market is essential for the economic development of the countries. Its forecast is a challenge, since it is a basic product that has high levels of volatility, because its behavi...

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Fecha de publicación:
2020
Institución:
Universidad de Medellín
Repositorio:
Repositorio UDEM
Idioma:
spa
OAI Identifier:
oai:repository.udem.edu.co:11407/5958
Acceso en línea:
http://hdl.handle.net/11407/5958
Palabra clave:
ARIMA-GARCH model
Electricity price forecast
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http://purl.org/coar/access_right/c_16ec
id REPOUDEM2_86c5e609eaf7e180cdcdde9871ba654b
oai_identifier_str oai:repository.udem.edu.co:11407/5958
network_acronym_str REPOUDEM2
network_name_str Repositorio UDEM
repository_id_str
dc.title.none.fl_str_mv Forecast of the energy price in colombia: An econometric application [Pronóstico de precio energético em colombia: Una aplicación econométrica]
title Forecast of the energy price in colombia: An econometric application [Pronóstico de precio energético em colombia: Una aplicación econométrica]
spellingShingle Forecast of the energy price in colombia: An econometric application [Pronóstico de precio energético em colombia: Una aplicación econométrica]
ARIMA-GARCH model
Electricity price forecast
title_short Forecast of the energy price in colombia: An econometric application [Pronóstico de precio energético em colombia: Una aplicación econométrica]
title_full Forecast of the energy price in colombia: An econometric application [Pronóstico de precio energético em colombia: Una aplicación econométrica]
title_fullStr Forecast of the energy price in colombia: An econometric application [Pronóstico de precio energético em colombia: Una aplicación econométrica]
title_full_unstemmed Forecast of the energy price in colombia: An econometric application [Pronóstico de precio energético em colombia: Una aplicación econométrica]
title_sort Forecast of the energy price in colombia: An econometric application [Pronóstico de precio energético em colombia: Una aplicación econométrica]
dc.subject.spa.fl_str_mv ARIMA-GARCH model
Electricity price forecast
topic ARIMA-GARCH model
Electricity price forecast
description Forecasting the price of electric energy is of the utmost importance for entrepreneurs, academics and regulators, as this market is essential for the economic development of the countries. Its forecast is a challenge, since it is a basic product that has high levels of volatility, because its behavior depends on the climate, the price of fuels and the limitations for its storage. For this reason, a method is proposed to forecast the price of electricity in the Colombian market, based on economic models; ARIMA-GARCH. Through the statistics, it was concluded that the model of mayor adjustment for the variation of the price in media is an ARMA (14.10)–GARCH (1.1), indicating that the decision makers will consider the results of the last 14 days to design your investment strategies. © 2020, Associacao Iberica de Sistemas e Tecnologias de Informacao. All rights reserved.
publishDate 2020
dc.date.accessioned.none.fl_str_mv 2021-02-05T14:58:17Z
dc.date.available.none.fl_str_mv 2021-02-05T14:58:17Z
dc.date.none.fl_str_mv 2020
dc.type.eng.fl_str_mv Article
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv info:eu-repo/semantics/article
dc.identifier.issn.none.fl_str_mv 16469895
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/11407/5958
identifier_str_mv 16469895
url http://hdl.handle.net/11407/5958
dc.language.iso.none.fl_str_mv spa
language spa
dc.relation.isversionof.none.fl_str_mv https://www.scopus.com/inward/record.uri?eid=2-s2.0-85080990923&partnerID=40&md5=26ecf073946c4f04935791f779a12ece
dc.relation.citationvolume.none.fl_str_mv 2020
dc.relation.citationissue.none.fl_str_mv E27
dc.relation.citationstartpage.none.fl_str_mv 663
dc.relation.citationendpage.none.fl_str_mv 676
dc.relation.references.none.fl_str_mv Balza, L., Espinasa, R., Serebrisky, T., ¿Luces encendidas? Necesidades de Energía para América Latina y el Caribe al 2040 (2016) Banco Interamerciano De Desarrollo, (378), p. 39. , https://publications.iadb.org/handle/11319/7361, Retrieved from
Barrientos, J., Tabares, E., Velilla, E., Forecasting electricity price in Colombia: A comparison between neural network, ARMA process and hybrid models (2018) International Journal of Energy Economics and Policy, 8 (3), pp. 97-106
Castillo, Y., Castrillón Gutiérrez, M., Vanegas-Chamorro, M., Valencia, G., Villicaña, E., Rol de las Fuentes No Convencionales de Energía en el sector eléctrico colombiano (2015) Prospectiva, 13 (1), p. 39. , https://doi.org/10.15665/rp.v13i1.358
Díaz Contreras, J.A., Macías Villalba, G.I., Luna González, E., Estrategia de cobertura con productos derivados para el mercado energético colombiano (2014) Estudios Gerenciales, 30 (130), pp. 55-64. , https://doi.org/10.1016/j.estger.2014.02.008
Interamericano, E.B., Energía y desarrollo económico en América Latina. (2002) Bolentin Economico De Ice, pp. 31-44
Arango, M.A.A., Botero, S.B., The application of real options as a tool for decision-making in the electricity market (2017) 12Th Iberian Conference on Information Systems and Technologies (CISTI), pp. 1-6. , https://doi.org/
Marín, J.A.V., (2017) Proyección De La Demanda De energía eléctrica Y Potencia máxima En Colombia, p. 32
Monsegny, M.C., Cuervo, E.C., Arch, M., Egarch, G.Y., Series, A.A., Modelos ARCH, GARCH Y EGARCH: Aplicaciones a Series Financieras (2008) Cuadernos De Economía, 27, pp. 287-320
Muñoz-Santiago, A., Pronosticos Del Precio De La Energia en Colombia utilizando modelos ARIMA con IGARCH (2017) Revista De Economía Del Rosario, 20 (1), pp. 127-161
Rueda, V.M., Velásquez, J.D., Franco, C.J., Avances recientes en la predicción de la demanda de electricidad usando modelos no lineales (2011) Dyna, 167, pp. 36-43. , http://www.scielo.org.co/pdf/dyna/v78n167/a04v78n167.pdf, Retrieved from
Tan, Z., Zhang, J., Wang, J., Xu, J., Day-ahead electricity price forecasting using wavelet transform combined with ARIMA and GARCH models (2010) Applied Energy, 87 (11), pp. 3606-3610. , https://doi.org/10.1016/j.apenergy.2010.05.012
Tang, E., Peng, C., Xu, Y., Changes of energy consumption with economic development when an economy becomes more productive (2018) Journal of Cleaner Production, 196, pp. 788-795. , https://doi.org/10.1016/j.jclepro.2018.06.101
Vera, G., Daniel, V., La, P.D.E., Mensual, D., Con, D.E.E., Pronóstico de la demanda mensual de electricidad con series de tiempo (2016) Revista EIA, 13, p. 11
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_16ec
rights_invalid_str_mv http://purl.org/coar/access_right/c_16ec
dc.publisher.none.fl_str_mv Associacao Iberica de Sistemas e Tecnologias de Informacao
dc.publisher.program.spa.fl_str_mv Ingeniería Financiera
dc.publisher.faculty.spa.fl_str_mv Facultad de Ingenierías
publisher.none.fl_str_mv Associacao Iberica de Sistemas e Tecnologias de Informacao
dc.source.none.fl_str_mv RISTI - Revista Iberica de Sistemas e Tecnologias de Informacao
institution Universidad de Medellín
repository.name.fl_str_mv Repositorio Institucional Universidad de Medellin
repository.mail.fl_str_mv repositorio@udem.edu.co
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spelling 20202021-02-05T14:58:17Z2021-02-05T14:58:17Z16469895http://hdl.handle.net/11407/5958Forecasting the price of electric energy is of the utmost importance for entrepreneurs, academics and regulators, as this market is essential for the economic development of the countries. Its forecast is a challenge, since it is a basic product that has high levels of volatility, because its behavior depends on the climate, the price of fuels and the limitations for its storage. For this reason, a method is proposed to forecast the price of electricity in the Colombian market, based on economic models; ARIMA-GARCH. Through the statistics, it was concluded that the model of mayor adjustment for the variation of the price in media is an ARMA (14.10)–GARCH (1.1), indicating that the decision makers will consider the results of the last 14 days to design your investment strategies. © 2020, Associacao Iberica de Sistemas e Tecnologias de Informacao. All rights reserved.spaAssociacao Iberica de Sistemas e Tecnologias de InformacaoIngeniería FinancieraFacultad de Ingenieríashttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85080990923&partnerID=40&md5=26ecf073946c4f04935791f779a12ece2020E27663676Balza, L., Espinasa, R., Serebrisky, T., ¿Luces encendidas? Necesidades de Energía para América Latina y el Caribe al 2040 (2016) Banco Interamerciano De Desarrollo, (378), p. 39. , https://publications.iadb.org/handle/11319/7361, Retrieved fromBarrientos, J., Tabares, E., Velilla, E., Forecasting electricity price in Colombia: A comparison between neural network, ARMA process and hybrid models (2018) International Journal of Energy Economics and Policy, 8 (3), pp. 97-106Castillo, Y., Castrillón Gutiérrez, M., Vanegas-Chamorro, M., Valencia, G., Villicaña, E., Rol de las Fuentes No Convencionales de Energía en el sector eléctrico colombiano (2015) Prospectiva, 13 (1), p. 39. , https://doi.org/10.15665/rp.v13i1.358Díaz Contreras, J.A., Macías Villalba, G.I., Luna González, E., Estrategia de cobertura con productos derivados para el mercado energético colombiano (2014) Estudios Gerenciales, 30 (130), pp. 55-64. , https://doi.org/10.1016/j.estger.2014.02.008Interamericano, E.B., Energía y desarrollo económico en América Latina. (2002) Bolentin Economico De Ice, pp. 31-44Arango, M.A.A., Botero, S.B., The application of real options as a tool for decision-making in the electricity market (2017) 12Th Iberian Conference on Information Systems and Technologies (CISTI), pp. 1-6. , https://doi.org/Marín, J.A.V., (2017) Proyección De La Demanda De energía eléctrica Y Potencia máxima En Colombia, p. 32Monsegny, M.C., Cuervo, E.C., Arch, M., Egarch, G.Y., Series, A.A., Modelos ARCH, GARCH Y EGARCH: Aplicaciones a Series Financieras (2008) Cuadernos De Economía, 27, pp. 287-320Muñoz-Santiago, A., Pronosticos Del Precio De La Energia en Colombia utilizando modelos ARIMA con IGARCH (2017) Revista De Economía Del Rosario, 20 (1), pp. 127-161Rueda, V.M., Velásquez, J.D., Franco, C.J., Avances recientes en la predicción de la demanda de electricidad usando modelos no lineales (2011) Dyna, 167, pp. 36-43. , http://www.scielo.org.co/pdf/dyna/v78n167/a04v78n167.pdf, Retrieved fromTan, Z., Zhang, J., Wang, J., Xu, J., Day-ahead electricity price forecasting using wavelet transform combined with ARIMA and GARCH models (2010) Applied Energy, 87 (11), pp. 3606-3610. , https://doi.org/10.1016/j.apenergy.2010.05.012Tang, E., Peng, C., Xu, Y., Changes of energy consumption with economic development when an economy becomes more productive (2018) Journal of Cleaner Production, 196, pp. 788-795. , https://doi.org/10.1016/j.jclepro.2018.06.101Vera, G., Daniel, V., La, P.D.E., Mensual, D., Con, D.E.E., Pronóstico de la demanda mensual de electricidad con series de tiempo (2016) Revista EIA, 13, p. 11RISTI - Revista Iberica de Sistemas e Tecnologias de InformacaoARIMA-GARCH modelElectricity price forecastForecast of the energy price in colombia: An econometric application [Pronóstico de precio energético em colombia: Una aplicación econométrica]Articleinfo:eu-repo/semantics/articlehttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Arango, M., Investigadora Docente Universidad de Medellín, Docente Universidad Nacional de Colombia, Medellín, 050026, ColombiaDíaz, J., Investigador Universidad Autónoma de Bucaramanga, Bucaramanga, ColombiaRamírez, Y., Estudiante Maestría en Finanzas, Universidad de Medellín, Medellín, 050026, Colombiahttp://purl.org/coar/access_right/c_16ecArango M.Díaz J.Ramírez Y.11407/5958oai:repository.udem.edu.co:11407/59582021-02-05 09:58:17.055Repositorio Institucional Universidad de Medellinrepositorio@udem.edu.co

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