A transfer function model for volatilities between water inflows and spot prices for Colombian electricity market
Abstract: The electricity generation mix in Colombia is predominantly hydroelectric. Phenomena that could generate extreme hydrology as El Niño or La Niña cause nervousness among electricity generators and therefore, the Electricity Spot Price increases the volatility. In this paper we propose a tra...
- Autores:
-
Galeano González, David Andrés
- Tipo de recurso:
- Fecha de publicación:
- 2015
- Institución:
- Universidad Nacional de Colombia
- Repositorio:
- Universidad Nacional de Colombia
- Idioma:
- spa
- OAI Identifier:
- oai:repositorio.unal.edu.co:unal/54525
- Acceso en línea:
- https://repositorio.unal.edu.co/handle/unal/54525
http://bdigital.unal.edu.co/49539/
- Palabra clave:
- 51 Matemáticas / Mathematics
GARCH
Electricity
SARFIMA
Economía de la energía
Energy economics
Rezagos autoregresivos
Función de transferencia
ADL-Koyck
- Rights
- openAccess
- License
- Atribución-NoComercial 4.0 Internacional
| Summary: | Abstract: The electricity generation mix in Colombia is predominantly hydroelectric. Phenomena that could generate extreme hydrology as El Niño or La Niña cause nervousness among electricity generators and therefore, the Electricity Spot Price increases the volatility. In this paper we propose a transfer function model between the volatilities of water inows and energy price based on models of SARFIMA-GARCH type. The model for Energy Prices incorporates seasonality and long memory. The transfer model confirms that the hydrology regimen influences the price and the GARCH part of the price model can incorporate the volatility of water inflows as an exogenous variable. It is important to note that, although the spot price volatility is influenced by other variables, we only analyze the influence of water inows. |
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