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Modelación de los precios en el mercado eléctrico español

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Author Info

  • Aitor Ciarreta

    ()

  • Mónica Lagullón

    ()

  • Ainhoa Zarraga

    ()

Abstract

Este trabajo investiga el comportamiento de los precios en el mercado eléctrico español durante el período de liberalización (entre el 29 de junio de 2001 y el 1 de mayo de 2007). El documento tiene un doble objetivo: por un lado, realizar un análisis descriptivo del comportamiento de las series de precios clasificadas por tipo de hora e intensidad de la demanda; por otro, presentar y estimar seismodelos para caracterizar la serie de precios diarios, los cuales recogen la mayor parte de las características detectadas en la misma. Finalmente, se selecciona un modelo con componente autorregresivo de orden uno, volatilidad condicional de los residuos (GARCH) y que no incorpora saltos. Además, se observa que el cambio regulatorio del año 2006 afecta al comportamiento de los precios

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File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/54/v30n54a10.pdf
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Bibliographic Info

Article provided by UN - RCE - CID in its journal REVISTA CUADERNOS DE ECONOMÍA.

Volume (Year): (2011)
Issue (Month): ()
Pages:

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Handle: RePEc:col:000093:008996

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Related research

Keywords: precios de la electricidad; GARCH; reversión a la media; estacionalidad; saltos.;

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