Financial anomalies in the electricity market: Empirical analysis of spot prices [Anomalías Financieras en el Mercado de Electricidad: Análisis empririco de los precios spot]

A key element that must consider the electricity generators in their operation planning process is the electricity price forecasting. Thus, for this task it is fundamental to identify a forecasting tool. In this direction, this paper presents forecast models for the price of electricity in the Colombian market. The different models are based in different schemes such as: autoregressive mobile media, generalized processes of conditional autoregressive heteroscedasticity (ARMA-GARCH), seasonal autoregressive models with mobile average and exogenous regressors (SARIMAX-GARCH). Likewise, using the theory of markets efficiency hypothesis the results show the presence of monthly calendar effects and the presence of nonlinear and asymmetric volatility which changes over time together with an inverse leverage effect. © 2018 AISTI.

• Fecha de publicación: 2018
• Institución: Universidad de Medellín
• Repositorio: Repositorio UDEM
• Idioma: spa
• OAI Identifier: oai:repository.udem.edu.co:11407/4860
• Acceso en línea: http://hdl.handle.net/11407/4860
• Palabra clave: Efficiency hypothesis; Electricity markets; Market anomalies; SARIMA-GARCH; Seasonality; Commerce; Costs; Efficiency; Financial data processing; Forecasting; Information systems; Information use; Asymmetric volatility; Conditional autoregressive; Electricity generators; Electricity price forecasting; Empirical analysis; SARIMA-GARCH; Seasonal autoregressive models; Seasonality; Power markets
• License: http://purl.org/coar/access_right/c_16ec