IDEAS home Printed from https://ideas.repec.org/a/col/000151/017954.html
   My bibliography  Save this article

Pronóstico del precio de la energía en Colombia utilizando modelos ARIMA con IGARCH

Author

Listed:
  • Alberto Munoz-Santiago
  • Jaime Urquijo-Vanstrahlengs
  • Aníbal Castro-Otero
  • Jahir Lombana

Abstract

The price of energy in the stock market is one of the most volatile commodities in world markets, making its estimate a challenge for the different factors involved: composition of the generating capacity, climate, oil prices, correlation between energy demand and gdp, among others, provoking price volatility in the stock market. The objective is to show the arima model with igarch that better predicts the price of energy in Colombia. It is concluded that if the studied variables have characteristics such as: abrupt behavior in short periods of time, asymmetry in distribution and does not meet with assumptions of stationarity, it is preferable to apply arch, garch and its different derivations to better cover heteroskedasticity.

Suggested Citation

  • Alberto Munoz-Santiago & Jaime Urquijo-Vanstrahlengs & Aníbal Castro-Otero & Jahir Lombana, 2017. "Pronóstico del precio de la energía en Colombia utilizando modelos ARIMA con IGARCH," Revista de Economía del Rosario, Universidad del Rosario, vol. 20(1), pages 125-159, June.
    • Handle: RePEc:col:000151:017954
    as

    Download full text from publisher

    File URL: https://revistas.urosario.edu.co/index.php/economia/article/view/6152
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    arima; arch; garch; igarch; energy stock market prices; Colombia;
    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
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000151:017954. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Facultad de Economía (email available below). General contact details of provider: https://edirc.repec.org/data/ferosco.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.