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Modelación de los precios en el mercado eléctrico espanol

Author

Listed:
  • Aitor Ciarreta
  • Mónica Lagullón
  • Ainhoa Zarraga

Abstract

Este trabajo investiga el comportamiento de los precios en el mercado eléctrico espanol durante el período de liberalización (entre el 29 de junio de 2001 y el 1 de mayo de 2007). El documento tiene un doble objetivo: por un lado, realizar un análisis descriptivo del comportamiento de las series de precios clasificadas por tipo de hora e intensidad de la demanda; por otro, presentar y estimar seismodelos para caracterizar la serie de precios diarios, los cuales recogen la mayor parte de las características detectadas en la misma. Finalmente, se selecciona un modelo con componente autorregresivo de orden uno, volatilidad condicional de los residuos (GARCH) y que no incorpora saltos. Además, se observa que el cambio regulatorio del ano 2006 afecta al comportamiento de los precios

Suggested Citation

  • Aitor Ciarreta & Mónica Lagullón & Ainhoa Zarraga, 2011. "Modelación de los precios en el mercado eléctrico espanol," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, June.
    • Handle: RePEc:col:000093:008996
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    File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/54/v30n54a10.pdf
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    Cited by:

    1. Andr s Oviedo-G mez & Sandra Milena Londo o-Hern ndez & Diego Fernando Manotas-Duque, 2021. "Electricity Price Fundamentals in Hydrothermal Power Generation Markets Using Machine Learning and Quantile Regression Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 11(5), pages 66-77.

    More about this item

    Keywords

    precios de la electricidad; GARCH; reversión a la media; estacionalidad; saltos.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities

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