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...

Full description

Bibliographic Details
Main Authors:	Gómez-Cano, Lucero, Catalina-Cuellar, Sandra, Méndez-Vargas, Raphael
Format:	Online
Language:	spa
Published:	Universidad Pedagógica y Tecnológica de Colombia 2020
Subjects:	mercado eléctrico colombiano modelos SARIMAX modelos VAR precio energía en bolsa colombian electric market price spot of energy SARIMAX model VAR model
Online Access:	https://revistas.uptc.edu.co/index.php/pensamiento_accion/article/view/12268

Description
Summary:	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.