Modelo para pronosticar el precio del mercado eléctrico en colombia por medio de transformada wavelet

Translated title of the contribution: Model for forecasting the price of the electrical market in colombia through wavelet transformed.

Yamile Ramírez, Mónica Arango, Jhon Díaz

Research output: Contribution to journalArticlepeer-review

Abstract

For businessmen, academics and regulators, forecasting the price of electric energy is increasing, since the behavior of the production of goods and services dependent on said product, becoming a fundamental variable in corporate decision making. For this reason, this research proposes a method to forecast the price of electricity in the Colombian market, based on the Wavelet transform, contrasting the result with the traditional ARIMA and GARCH models. Finding that the latter allows a greater adjustment in the short-term forecast, where the EGARCH (1,1) behavior, where the upward trend in prices is identified, generates an overreaction or effect exceeding its volatility.

Translated title of the contributionModel for forecasting the price of the electrical market in colombia through wavelet transformed.
Original languageSpanish
Pages (from-to)448-461
Number of pages14
JournalRISTI - Revista Iberica de Sistemas e Tecnologias de Informacao
Volume2021
Issue numberE41
StatePublished - 2021
Externally publishedYes

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