Price Modeling in the Spanish Electric Market (in Spanish)
Universidad del Pais Vasco
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Ainhoa Zarraga Alonso
Universidad del País Vasco - Departamento de Economia Aplicada III
September 20, 2011
Cuadernos de Economía, Vol. 30, No. 54, p. 227, 2011
This paper investigates the behaviour of prices in the Spanish electricity market liberalization during the period from June 29, 2001 to May 1, 2007. The work has two aims: First, conduct a descriptive analysis of the behaviour of the price series classified by time and intensity of demand. On the other hand, six models are presented and estimated to characterize the series of daily prices, which represent the bulk of the features found in it. Finally, we select a model with first order autoregressive component, conditional volatility for the residuals (GARCH) and it is not necessary to incorporate jumps. It is further noted that the 2006 regulatory change affects the behaviour of prices.
Note: Downloadable document is in Spanish.
Number of Pages in PDF File: 24
Keywords: electricity prices, mean reversion, seasonality, jumps, GARCH
JEL Classification: C22, G10, L94Accepted Paper Series
Date posted: September 20, 2011 ; Last revised: March 8, 2012
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