Pronóstico del precio de la energía en Colombia utilizando modelos ARIMA con IGARCH

Alberto Munoz-Santiago (), Jaime Urquijo-Vanstrahlengs (), Aníbal Castro-Otero () and Jahir Lombana Coy ()

Revista de Economía del Rosario, 2017, vol. 20, issue 1, No 17954, 125-159

Abstract: The price of energy in the stock market is one of the most volatile commodities in world markets, making its estimate a challenge for the different factors involved: composition of the generating capacity, climate, oil prices, correlation between energy demand and gdp, among others, provoking price volatility in the stock market. The objective is to show the arima model with igarch that better predicts the price of energy in Colombia. It is concluded that if the studied variables have characteristics such as: abrupt behavior in short periods of time, asymmetry in distribution and does not meet with assumptions of stationarity, it is preferable to apply arch, garch and its different derivations to better cover heteroskedasticity.

Keywords: arima; arch; garch; igarch; energy stock market prices; Colombia (search for similar items in EconPapers)
JEL-codes: C22 Q41 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:col:000151:017954

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