The Impact of Coskewness and Cokurtosis as Augmentation Factors in Modeling Colombian Electricity Price Returns

Edgardo Cayon () and Julio Sarmiento
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Edgardo Cayon: Finance Department, CESA Business School, Bogotá 111311, Colombia
Julio Sarmiento: Business Department, Pontificia Universidad Javeriana, Bogotá 110231, Colombia

Energies, 2022, vol. 15, issue 19, 1-8

Abstract: This paper explores the empirical validity of an augmented volume model for Colombian electricity price returns (in the present study, the definition of returns is simply the “rate of change” of observed prices for different periods). Of particular interest is the impact of coskewness and cokurtosis when modeling Colombian electricity price returns. We found that coskewness as an augmentation factor is highly significant and should be considered when modeling Colombian electricity price returns. The results obtained for coskewness as an augmentation factor in a volume model are consistent when using either an Ordinary Least Square (OLS) and Generalized Method of Moments (GMM) specification for the data employed. On the other hand, the effect of cokurtosis is highly irrelevant and not significant in most cases under the proposed specification.

Keywords: electricity markets; asset pricing; higher moments (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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