 Comparison of indicator saturation and Markov regime-switching models for Brazilian electricity pricesMarcos de Castro Matias and Benjamin Miranda Tabak Energy Economics, 2025, vol. 144, issue C Abstract: In this study, we compared the results obtained from the application of two different approaches to model Brazilian electricity prices. One of them is the Indicator Saturation model, which consider simultaneously impulse, step, trend events and autocorrelation. The other one is the Markov regime-switching model. We considered the marginal operating cost as the Brazilian electricity spot price, and the study was applied in the four different Brazilian submarkets. We concluded that the Indicator Saturation approach outperforms the regime-switching model in terms of outlier detection. We discussed the relevance of this study as a response to the increase in electricity price volatility caused by the energy transition, as well as to enrich the debate related to the possible change in the methodology for calculating the Brazilian electricity spot price within the framework of the electricity sector reform underway in Brazil. Keywords: Brazilian Electric System; Electricity prices; Indicator saturation; Price spikes (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001653 DOI: 10.1016/j.eneco.2025.108341 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.