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Comparing Iranian and Spanish Electricity Markets with Nonlinear Time Series

Author

Listed:
  • Hajar Nasrazadani

    (Department of Statistics and Operations Research, Universitat Polit cnica de Catalunya, Barcelona, Spain,)

  • Maria Pilar Mu oz Gracia

    (Department of Statistics and Operations Research, Universitat Polit cnica de Catalunya, Barcelona, Spain)

Abstract

Electricity market analysis is useful for accessing strategic market information in order to set energy policy. According to recent interpretations of the Article 44 of the Iranian Laws, the Iranian electricity market is to become a free market. Mechanisms that were implemented in the Spanish electricity market - a free market - provide a versatile benchmark to employ time series modeling approach to compare Iran and Spain s electricity markets via price and load time series as two main indices. Here, we develop linear (autoregressive integrated moving average [MA]), heteroskedastic (autoregressive MA model [ARMA]-generalized autoregressive conditional heteroskedastic [GARCH]), and nonlinear time series models to model the Iranian/Spanish electricity market for price and load time series indices. We further utilize the conditional variance to propose the ARMA-TGARCH model as the best suited model for the Iranian electricity market price. We employ our models and time series analysis to forecast and question the status of the Iranian market structure as a free market.

Suggested Citation

  • Hajar Nasrazadani & Maria Pilar Mu oz Gracia, 2017. "Comparing Iranian and Spanish Electricity Markets with Nonlinear Time Series," International Journal of Energy Economics and Policy, Econjournals, vol. 7(2), pages 262-286.
    • Handle: RePEc:eco:journ2:2017-02-33
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    Cited by:

    1. Al Aali-Bujari & Francisco Venegas-Mart nez & Roberto J. Santill n-Salgado, 2018. "On the Stock Market-Electricity Sector Nexus in Latin America: A Dynamic Panel Data Model," International Journal of Energy Economics and Policy, Econjournals, vol. 8(6), pages 148-154.

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    More about this item

    Keywords

    Time Series; Forecasting; Electricity Market; Spain; Iran;
    All these keywords.

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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