Comparing Iranian and Spanish Electricity Markets with Nonlinear Time Series

Hajar Nasrazadani and Maria Pilar Mu oz Gracia
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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

International Journal of Energy Economics and Policy, 2017, vol. 7, issue 2, 262-286

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.

Keywords: Time Series; Forecasting; Electricity Market; Spain; Iran (search for similar items in EconPapers)
JEL-codes: C31 Q41 Q47 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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