Abstract

GIL ZAPATA, Martha María  and  MAYA OCHOA, Cecilia. Volatility modeling of electric power prices in Colombia. Rev. ing. univ. Medellin [online]. 2008, vol.7, n.12, pp. 87-114. ISSN 1692-3324.

This article analyzes an appropriate procedure to model electric power price and its volatility with the purpose of making some contributions to the development of cash market and its by-products, underlying in Colombia, in terms of its valuation, of a more precise calculation of system operation margins and an appropriate management of associated risk.

Keywords : Electric powers price modelling; time series modelling; volatility; energy market; GARCH energy models.