TY - GEN
T1 - Anomalías Financieras en el Mercado de Electricidad
T2 - 13th Iberian Conference on Information Systems and Technologies, CISTI 2018
AU - Monica, Andrea Arango A.
AU - Botero, Sergio Botero
AU - Jaime, Humberto Hoyos B.
N1 - Funding Information:
Se aplican varios modelos de media móvil autorregresiva con procesos generalizados de heterocedasticidad autorregresiva condicional (ARMA–GARCH) y SARIMA-GARCH para analizar el comportamiento de la rentabilidad del precio de la electricidad. Se evidencia presencia de efecto calendario diario y mensual.
Publisher Copyright:
© 2018 AISTI.
PY - 2018/6/27
Y1 - 2018/6/27
N2 - 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.
AB - 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.
KW - Efficiency hypothesis
KW - Electricity markets
KW - Market anomalies
KW - SARIMA-GARCH
KW - Seasonality
UR - http://www.scopus.com/inward/record.url?scp=85049904209&partnerID=8YFLogxK
U2 - 10.23919/CISTI.2018.8398640
DO - 10.23919/CISTI.2018.8398640
M3 - Contribución a la conferencia
AN - SCOPUS:85049904209
VL - 2018-June
T3 - Iberian Conference on Information Systems and Technologies, CISTI
SP - 1
EP - 7
BT - Memorias de la CISTI 2018 - 13a Conferencia Iberica de Sistemas y Tecnologias de Informacion / Proceedings of CISTI 2018 - 13th Iberian Conference on Information Systems and Technologies
A2 - Rocha, Alvaro
A2 - Cota, Manuel Perez
A2 - Lozano-Tello, Adolfo
A2 - Goncalves, Ramiro
PB - IEEE Computer Society
Y2 - 13 June 2018 through 16 June 2018
ER -