Model for forecasting the price of the electrical market in colombia through wavelet transformed. [Modelo para pronosticar el precio del mercado eléctrico en colombia por medio de transformada wavelet]
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Associacao Iberica de Sistemas e Tecnologias de Informacao
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For businessmen, academics and regulators, forecasting the price of electric energy is increasing, since the behavior of the production of goods and services dependent on said product, becoming a fundamental variable in corporate decision making. For this reason, this research proposes a method to forecast the price of electricity in the Colombian market, based on the Wavelet transform, contrasting the result with the traditional ARIMA and GARCH models. Finding that the latter allows a greater adjustment in the short-term forecast, where the EGARCH (1,1) behavior, where the upward trend in prices is identified, generates an overreaction or effect exceeding its volatility. © 2021, Associacao Iberica de Sistemas e Tecnologias de Informacao. All rights reserved.