Forecast Model to Estimate Energy Stock Price in Colombia

The aim of this work is to propose a statistical model to forecast the price spot of energy on the stock electric market in Colombia, incorporating the effect of some variables that have impact on its formation. To do it, we proceed with a contextualization of the electricity market in Colombia, bec...

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Autores:
Tipo de recurso:
Fecha de publicación:
2020
Institución:
Universidad Pedagógica y Tecnológica de Colombia
Repositorio:
RiUPTC: Repositorio Institucional UPTC
Idioma:
spa
OAI Identifier:
oai:repositorio.uptc.edu.co:001/10103
Acceso en línea:
https://revistas.uptc.edu.co/index.php/pensamiento_accion/article/view/12268
https://repositorio.uptc.edu.co/handle/001/10103
Palabra clave:
mercado eléctrico colombiano
modelos SARIMAX
modelos VAR
precio energía en bolsa
colombian electric market
price spot of energy
SARIMAX model
VAR model
Rights
openAccess
License
Derechos de autor 2021 Lucero Gómez-Cano; Sandra Catalina-Cuellar; Raphael Méndez-Vargas
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spelling 2020-12-142024-07-05T17:52:54Z2024-07-05T17:52:54Zhttps://revistas.uptc.edu.co/index.php/pensamiento_accion/article/view/1226810.19053/01201190.n30.2021.12268https://repositorio.uptc.edu.co/handle/001/10103The aim of this work is to propose a statistical model to forecast the price spot of energy on the stock electric market in Colombia, incorporating the effect of some variables that have impact on its formation. To do it, we proceed with a contextualization of the electricity market in Colombia, because its structure and operating model determine the formation of market prices, among which the price spot of energy has the highest volatility. To identify the forecasting model, the Box-Jenkins methodology of time series is used and the best SARIMA, SARIMAX and VAR model is proposed, from which the corresponding forecasts and analysis of results are made.El objetivo de este trabajo es proponer un modelo estadístico que permita pronosticar el precio de la energía en bolsa en Colombia, incorporando el efecto de algunas de las variables que mayor impacto tienen sobre la formación de este. Para realizar el análisis, se procede con una contextualización del funcionamiento del mercado eléctrico en Colombia, dado que su estructura y modelo de operación determinan la formación de los precios de mercado, entre los cuales, el precio de energía en bolsa se convierte en uno de los que registra mayor volatilidad. Para identificar el modelo de pronóstico se utiliza la metodología de Box-Jenkins de series de tiempo y se propone el mejor modelo SARIMA, SARIMAX y VAR, a partir de los cuales se realiza los pronósticos correspondientes y los análisis de resultados.application/pdfapplication/xmlspaspaUniversidad Pedagógica y Tecnológica de Colombiahttps://revistas.uptc.edu.co/index.php/pensamiento_accion/article/view/12268/10027https://revistas.uptc.edu.co/index.php/pensamiento_accion/article/view/12268/10108Derechos de autor 2021 Lucero Gómez-Cano; Sandra Catalina-Cuellar; Raphael Méndez-Vargasinfo:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Pensamiento y Acción; No. 30 (2021): January-June 2021; 69-90Pensamiento y Acción; Núm. 30 (2021): Enero-Junio 2021; 69-902619-33530120-1190mercado eléctrico colombianomodelos SARIMAXmodelos VARprecio energía en bolsacolombian electric marketprice spot of energySARIMAX modelVAR modelForecast Model to Estimate Energy Stock Price in ColombiaModelo de pronóstico para estimar el comportamiento del precio en bolsa de la energía en Colombiainfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_2df8fbb1info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a85Gómez-Cano, LuceroCatalina-Cuellar, SandraMéndez-Vargas, Raphael001/10103oai:repositorio.uptc.edu.co:001/101032025-07-18 11:39:12.658metadata.onlyhttps://repositorio.uptc.edu.coRepositorio Institucional UPTCrepositorio.uptc@uptc.edu.co
dc.title.en-US.fl_str_mv Forecast Model to Estimate Energy Stock Price in Colombia
dc.title.es-ES.fl_str_mv Modelo de pronóstico para estimar el comportamiento del precio en bolsa de la energía en Colombia
title Forecast Model to Estimate Energy Stock Price in Colombia
spellingShingle Forecast Model to Estimate Energy Stock Price in Colombia
mercado eléctrico colombiano
modelos SARIMAX
modelos VAR
precio energía en bolsa
colombian electric market
price spot of energy
SARIMAX model
VAR model
title_short Forecast Model to Estimate Energy Stock Price in Colombia
title_full Forecast Model to Estimate Energy Stock Price in Colombia
title_fullStr Forecast Model to Estimate Energy Stock Price in Colombia
title_full_unstemmed Forecast Model to Estimate Energy Stock Price in Colombia
title_sort Forecast Model to Estimate Energy Stock Price in Colombia
dc.subject.es-ES.fl_str_mv mercado eléctrico colombiano
modelos SARIMAX
modelos VAR
precio energía en bolsa
topic mercado eléctrico colombiano
modelos SARIMAX
modelos VAR
precio energía en bolsa
colombian electric market
price spot of energy
SARIMAX model
VAR model
dc.subject.en-US.fl_str_mv colombian electric market
price spot of energy
SARIMAX model
VAR model
description The aim of this work is to propose a statistical model to forecast the price spot of energy on the stock electric market in Colombia, incorporating the effect of some variables that have impact on its formation. To do it, we proceed with a contextualization of the electricity market in Colombia, because its structure and operating model determine the formation of market prices, among which the price spot of energy has the highest volatility. To identify the forecasting model, the Box-Jenkins methodology of time series is used and the best SARIMA, SARIMAX and VAR model is proposed, from which the corresponding forecasts and analysis of results are made.
publishDate 2020
dc.date.accessioned.none.fl_str_mv 2024-07-05T17:52:54Z
dc.date.available.none.fl_str_mv 2024-07-05T17:52:54Z
dc.date.none.fl_str_mv 2020-12-14
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.version.none.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.version.spa.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.coarversion.none.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
status_str publishedVersion
dc.identifier.none.fl_str_mv https://revistas.uptc.edu.co/index.php/pensamiento_accion/article/view/12268
10.19053/01201190.n30.2021.12268
dc.identifier.uri.none.fl_str_mv https://repositorio.uptc.edu.co/handle/001/10103
url https://revistas.uptc.edu.co/index.php/pensamiento_accion/article/view/12268
https://repositorio.uptc.edu.co/handle/001/10103
identifier_str_mv 10.19053/01201190.n30.2021.12268
dc.language.none.fl_str_mv spa
dc.language.iso.none.fl_str_mv spa
language spa
dc.relation.none.fl_str_mv https://revistas.uptc.edu.co/index.php/pensamiento_accion/article/view/12268/10027
https://revistas.uptc.edu.co/index.php/pensamiento_accion/article/view/12268/10108
dc.rights.es-ES.fl_str_mv Derechos de autor 2021 Lucero Gómez-Cano; Sandra Catalina-Cuellar; Raphael Méndez-Vargas
dc.rights.accessrights.none.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.coar.none.fl_str_mv http://purl.org/coar/access_right/c_abf2
rights_invalid_str_mv Derechos de autor 2021 Lucero Gómez-Cano; Sandra Catalina-Cuellar; Raphael Méndez-Vargas
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/xml
dc.publisher.es-ES.fl_str_mv Universidad Pedagógica y Tecnológica de Colombia
dc.source.en-US.fl_str_mv Pensamiento y Acción; No. 30 (2021): January-June 2021; 69-90
dc.source.es-ES.fl_str_mv Pensamiento y Acción; Núm. 30 (2021): Enero-Junio 2021; 69-90
dc.source.none.fl_str_mv 2619-3353
0120-1190
institution Universidad Pedagógica y Tecnológica de Colombia
repository.name.fl_str_mv Repositorio Institucional UPTC
repository.mail.fl_str_mv repositorio.uptc@uptc.edu.co
_version_ 1839633768055308288

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