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...
| Main Authors: | , , |
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| Format: | Online |
| Language: | spa |
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Universidad Pedagógica y Tecnológica de Colombia
2020
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| Online Access: | https://revistas.uptc.edu.co/index.php/pensamiento_accion/article/view/12268 |
| _version_ | 1801706740355432448 |
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| author | Gómez-Cano, Lucero Catalina-Cuellar, Sandra Méndez-Vargas, Raphael |
| author_facet | Gómez-Cano, Lucero Catalina-Cuellar, Sandra Méndez-Vargas, Raphael |
| author_sort | Gómez-Cano, Lucero |
| collection | OJS |
| 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. |
| format | Online |
| id | oai:oai.revistas.uptc.edu.co:article-12268 |
| institution | Revista Pensamiento y Acción |
| language | spa |
| publishDate | 2020 |
| publisher | Universidad Pedagógica y Tecnológica de Colombia |
| record_format | ojs |
| spelling | oai:oai.revistas.uptc.edu.co:article-122682021-07-12T07:58:09Z Forecast Model to Estimate Energy Stock Price in Colombia Modelo de pronóstico para estimar el comportamiento del precio en bolsa de la energía en Colombia Gómez-Cano, Lucero Catalina-Cuellar, Sandra Méndez-Vargas, Raphael mercado eléctrico colombiano modelos SARIMAX modelos VAR precio energía en bolsa colombian electric market price spot of energy SARIMAX model VAR model 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. 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. Universidad Pedagógica y Tecnológica de Colombia 2020-12-14 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf application/xml https://revistas.uptc.edu.co/index.php/pensamiento_accion/article/view/12268 10.19053/01201190.n30.2021.12268 Pensamiento y Acción; No. 30 (2021): January-June 2021; 69-90 Pensamiento y Acción; Núm. 30 (2021): Enero-Junio 2021; 69-90 2619-3353 0120-1190 spa 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 Derechos de autor 2021 Lucero Gómez-Cano; Sandra Catalina-Cuellar; Raphael Méndez-Vargas |
| spellingShingle | mercado eléctrico colombiano modelos SARIMAX modelos VAR precio energía en bolsa colombian electric market price spot of energy SARIMAX model VAR model Gómez-Cano, Lucero Catalina-Cuellar, Sandra Méndez-Vargas, Raphael Forecast Model to Estimate Energy Stock Price in Colombia |
| title | Forecast Model to Estimate Energy Stock Price in Colombia |
| title_alt | Modelo de pronóstico para estimar el comportamiento del precio en bolsa de la energía en 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_short | Forecast Model to Estimate Energy Stock Price in Colombia |
| title_sort | forecast model to estimate energy stock price in colombia |
| topic | mercado eléctrico colombiano modelos SARIMAX modelos VAR precio energía en bolsa colombian electric market price spot of energy SARIMAX model VAR model |
| topic_facet | mercado eléctrico colombiano modelos SARIMAX modelos VAR precio energía en bolsa colombian electric market price spot of energy SARIMAX model VAR model |
| url | https://revistas.uptc.edu.co/index.php/pensamiento_accion/article/view/12268 |
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