Cobertura de Volatilidad del Precio de la Electricidad Aplicando la Descomposición Estacional y de Tendencia

El Mercado Eléctrico Mayorista

  • Alfredo Ramirez Garcia Instituto Tecnológico y de Estudios Superiores de Monterrey
  • Eduardo Saucedo de la Fuente Instituto Tecnológico y de Estudios Superiores de Monterrey
Palabras clave: Descomposición Estacional y de Tendencia usando Loess (STL), Distribución Normal Inversa Gaussiana (NIG), Pronóstico del Precio de la Electricidad (EPF), Wholesale Electricity Market (MEM), Valuación de Cobertura de la Electricidad

Resumen

El Mercado Eléctrico Mayorista (MEM) ha permitido a los participantes comercializar electricidad al Precio Marginal Local (LMP) por lo que, se requiere desarrollar modelos de cobertura para enfrentar la alta volatilidad de los precios y así evitar pérdidas financieras. Este trabajo propone una metodología basada en el Modelo de Descomposición Estacional y de Tendencias (STL) aplicado a las series de retornos PML, su ajuste a la distribución NIG obteniendo los parámetros empíricos por Estimación de Máxima Verosimilitud (MLE), para simular una serie distribuida NIG, y por medio de pruebas de bondad de ajuste demostrar el ajuste de los datos a la distribución NIG. Este trabajo debe considerarse la primera Metodología de Valuación de Coberturas Eléctricas para el MEM. Los resultados muestran que los retornos del precio de la electricidad pueden ajustarse a la distribución NIG incluso en períodos de crisis económica. El periodo de estudio contempla del 29/01/2016 al 09/07/2021.

Clasificación JEL: C15; G10; O13; P18; Q47.

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Biografía del autor

Alfredo Ramirez Garcia, Instituto Tecnológico y de Estudios Superiores de Monterrey

EGADE Business School, Tecnológico de Monterrey, Mexico City

Eduardo Saucedo de la Fuente, Instituto Tecnológico y de Estudios Superiores de Monterrey

GADE Business School, Tecnologico de Monterrey, Mexico City

Citas

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Publicado
2022-01-06
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