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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
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    File URL: https://revistas.urosario.edu.co/index.php/economia/article/view/6152
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    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

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