Time Series Analysis for Prediction of Energy Prices on the Colombian Stock Exchange

Abstract:     
Because of the restructuring of the Colombian electricity sector over the last two decades, the behavior of the price of electrical energy has shown increased volatility, reflecting the risk that exists for the different agents who intervene in this market. The purpose of this article is to present a methodology for the implementation of regression models on the historical series of stock market prices of energy in Colombia. As the quantity of data increases, broader models can be developed to adequately describe market behaviors that are impossible to identify using currently available techniques and information.

Note: Downloadable document is in Spanish.

Number of Pages in PDF File: 36

Keywords: energy market, spot market, time series, market intervention

JEL Classification: C13, C15, C53, Q49

Accepted Paper Series