使用ARIMA模型和IGARCH预测哥伦比亚的能源价格

Q4 Economics, Econometrics and Finance

Revista de Economia del Rosario Pub Date : 2017-10-17 DOI:10.12804/REVISTAS.UROSARIO.EDU.CO/ECONOMIA/A.6152

Alberto Muñoz-Santiago, Jaime Urquijo-Vanstrahlengs, Aníbal Castro-Otero, Jahir Lombana

{"title":"使用ARIMA模型和IGARCH预测哥伦比亚的能源价格","authors":"Alberto Muñoz-Santiago, Jaime Urquijo-Vanstrahlengs, Aníbal Castro-Otero, Jahir Lombana","doi":"10.12804/REVISTAS.UROSARIO.EDU.CO/ECONOMIA/A.6152","DOIUrl":null,"url":null,"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.","PeriodicalId":34973,"journal":{"name":"Revista de Economia del Rosario","volume":"20 1","pages":"127-159"},"PeriodicalIF":0.0000,"publicationDate":"2017-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Pronóstico del precio de la energía en Colombia utilizando modelos ARIMA con IGARCH\",\"authors\":\"Alberto Muñoz-Santiago, Jaime Urquijo-Vanstrahlengs, Aníbal Castro-Otero, Jahir Lombana\",\"doi\":\"10.12804/REVISTAS.UROSARIO.EDU.CO/ECONOMIA/A.6152\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":34973,\"journal\":{\"name\":\"Revista de Economia del Rosario\",\"volume\":\"20 1\",\"pages\":\"127-159\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2017-10-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Revista de Economia del Rosario\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.12804/REVISTAS.UROSARIO.EDU.CO/ECONOMIA/A.6152\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"Economics, Econometrics and Finance\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Revista de Economia del Rosario","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12804/REVISTAS.UROSARIO.EDU.CO/ECONOMIA/A.6152","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}

引用次数: 1

摘要

股票市场的能源价格是世界市场上最不稳定的大宗商品之一，这使得其估计对所涉及的不同因素构成挑战:发电能力的构成、气候、油价、能源需求与gdp之间的相关性等，引发了股票市场的价格波动。目的是展示用igarch的arima模型能更好地预测哥伦比亚的能源价格。如果所研究的变量具有短时间突变、分布不对称和不满足平稳假设等特征，则最好采用arch、arch及其不同的导数来更好地掩盖异方差。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

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

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Revista de Economia del Rosario Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

0.60

自引率

0.00%

发文量

审稿时长

12 weeks