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...

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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
id UNACIONAL2_ffd572185077276d0d4e8178ed95e537
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spelling Atribución-NoComercial 4.0 InternacionalDerechos reservados - Universidad Nacional de Colombiahttp://creativecommons.org/licenses/by-nc/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Giraldo Gómez, Norman DiegoGaleano González, David Andrés43456bb8-aeda-4a69-9a7f-47391c20da1a3002019-06-29T20:45:31Z2019-06-29T20:45:31Z2015-06-16https://repositorio.unal.edu.co/handle/unal/54525http://bdigital.unal.edu.co/49539/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.Resumen: La canasta de generación eléctrica en Colombia es predominantemente hidroeléctrica. Fenómenos que pudieran generar hidrologías extremas como El Niño o La Niña causan nerviosismo entre las empresas generadoras de electricidad y por lo tanto, aumenta la volatilidad del precio de bolsa de energía eléctrica. En este trabajo nosotros introducimos un modelo de función de transferencia entre las volatilidades de los aportes hidrológicos y el precio de la energía con base en modelos del tipo SARFIMA-GARCH. El modelo para el Precio de Energía incorpora estacionalidad y memoria larga. El modelo de transferencia confirma que el régimen hidrológico influencia el precio y la parte GARCH del modelo de Precios puede incorporar la volatilidad de los aportes hidrológicos como una variable exógena. Es importante hacer notar que aunque la volatilidad del precio de bolsa está influenciada por otras variables, aquí solo se analizará la influencia de los aportes hidrológicosMaestríaapplication/pdfspaUniversidad Nacional de Colombia Sede Medellín Facultad de Ciencias Escuela de EstadísticaEscuela de EstadísticaGaleano González, David Andrés (2015) A transfer function model for volatilities between water inflows and spot prices for Colombian electricity market. Maestría thesis, Universidad Nacional de Colombia - Sede Medellín.51 Matemáticas / MathematicsGARCHElectricitySARFIMAEconomía de la energíaEnergy economicsRezagos autoregresivosFunción de transferenciaADL-KoyckA transfer function model for volatilities between water inflows and spot prices for Colombian electricity marketTrabajo de grado - Maestríainfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/acceptedVersionTexthttp://purl.org/redcol/resource_type/TMORIGINAL71361770.2015.pdfTesis de Maestría en Ciencias - Estadísticaapplication/pdf3014690https://repositorio.unal.edu.co/bitstream/unal/54525/1/71361770.2015.pdf426bfa4d1d8d4792714ecd7ff138e94cMD51THUMBNAIL71361770.2015.pdf.jpg71361770.2015.pdf.jpgGenerated Thumbnailimage/jpeg4279https://repositorio.unal.edu.co/bitstream/unal/54525/2/71361770.2015.pdf.jpg98e83fc5f7d04c34a79dbba12cfab7f6MD52unal/54525oai:repositorio.unal.edu.co:unal/545252023-03-21 11:30:00.285Repositorio Institucional Universidad Nacional de Colombiarepositorio_nal@unal.edu.co
dc.title.spa.fl_str_mv A transfer function model for volatilities between water inflows and spot prices for Colombian electricity market
title A transfer function model for volatilities between water inflows and spot prices for Colombian electricity market
spellingShingle A transfer function model for volatilities between water inflows and spot prices for Colombian electricity market
51 Matemáticas / Mathematics
GARCH
Electricity
SARFIMA
Economía de la energía
Energy economics
Rezagos autoregresivos
Función de transferencia
ADL-Koyck
title_short A transfer function model for volatilities between water inflows and spot prices for Colombian electricity market
title_full A transfer function model for volatilities between water inflows and spot prices for Colombian electricity market
title_fullStr A transfer function model for volatilities between water inflows and spot prices for Colombian electricity market
title_full_unstemmed A transfer function model for volatilities between water inflows and spot prices for Colombian electricity market
title_sort A transfer function model for volatilities between water inflows and spot prices for Colombian electricity market
dc.creator.fl_str_mv Galeano González, David Andrés
dc.contributor.author.spa.fl_str_mv Galeano González, David Andrés
dc.contributor.spa.fl_str_mv Giraldo Gómez, Norman Diego
dc.subject.ddc.spa.fl_str_mv 51 Matemáticas / Mathematics
topic 51 Matemáticas / Mathematics
GARCH
Electricity
SARFIMA
Economía de la energía
Energy economics
Rezagos autoregresivos
Función de transferencia
ADL-Koyck
dc.subject.proposal.spa.fl_str_mv GARCH
Electricity
SARFIMA
Economía de la energía
Energy economics
Rezagos autoregresivos
Función de transferencia
ADL-Koyck
description 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.
publishDate 2015
dc.date.issued.spa.fl_str_mv 2015-06-16
dc.date.accessioned.spa.fl_str_mv 2019-06-29T20:45:31Z
dc.date.available.spa.fl_str_mv 2019-06-29T20:45:31Z
dc.type.spa.fl_str_mv Trabajo de grado - Maestría
dc.type.driver.spa.fl_str_mv info:eu-repo/semantics/masterThesis
dc.type.version.spa.fl_str_mv info:eu-repo/semantics/acceptedVersion
dc.type.content.spa.fl_str_mv Text
dc.type.redcol.spa.fl_str_mv http://purl.org/redcol/resource_type/TM
status_str acceptedVersion
dc.identifier.uri.none.fl_str_mv https://repositorio.unal.edu.co/handle/unal/54525
dc.identifier.eprints.spa.fl_str_mv http://bdigital.unal.edu.co/49539/
url https://repositorio.unal.edu.co/handle/unal/54525
http://bdigital.unal.edu.co/49539/
dc.language.iso.spa.fl_str_mv spa
language spa
dc.relation.ispartof.spa.fl_str_mv Universidad Nacional de Colombia Sede Medellín Facultad de Ciencias Escuela de Estadística
Escuela de Estadística
dc.relation.references.spa.fl_str_mv Galeano González, David Andrés (2015) A transfer function model for volatilities between water inflows and spot prices for Colombian electricity market. Maestría thesis, Universidad Nacional de Colombia - Sede Medellín.
dc.rights.spa.fl_str_mv Derechos reservados - Universidad Nacional de Colombia
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.license.spa.fl_str_mv Atribución-NoComercial 4.0 Internacional
dc.rights.uri.spa.fl_str_mv http://creativecommons.org/licenses/by-nc/4.0/
dc.rights.accessrights.spa.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv Atribución-NoComercial 4.0 Internacional
Derechos reservados - Universidad Nacional de Colombia
http://creativecommons.org/licenses/by-nc/4.0/
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.mimetype.spa.fl_str_mv application/pdf
institution Universidad Nacional de Colombia
bitstream.url.fl_str_mv https://repositorio.unal.edu.co/bitstream/unal/54525/1/71361770.2015.pdf
https://repositorio.unal.edu.co/bitstream/unal/54525/2/71361770.2015.pdf.jpg
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repository.name.fl_str_mv Repositorio Institucional Universidad Nacional de Colombia
repository.mail.fl_str_mv repositorio_nal@unal.edu.co
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