Effect of the intermittency of non-conventional renewable energy sources on the volatility of the Colombian spot price

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dc.citation.journalTitleRenewable Energyeng
dc.citation.volume232
dc.contributor.affiliationGraz University of Technology
dc.contributor.affiliationUniversidad EAFIT
dc.contributor.affiliationUniversidad Del Norte
dc.contributor.authorCardona-Vasquez, David
dc.contributor.authorGarcia-Rendon, John
dc.contributor.authorArango-Manrique, Adriana
dc.coverage.spatialMedellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees
dc.creator.emailjgarcia@eafit.edu.co
dc.date.accessioned2025-01-08T20:12:21Z
dc.date.available2025-01-08T20:12:21Z
dc.date.issued2024-07-24
dc.description.abstractThis paper explores one of the side effects and challenges that integrating non-conventional renewable energy sources poses to the Colombian electricity market, the spot price volatility which is directly related to financial risk. We propose a vector error correction model that allows an integrated and dynamic modelling of the offer-side of the spot market by considering bid prices, available energy, renewable energy production and the spot price. To validate the model, we performed statistical tests on the residuals of the model and back-testing. The results show that given a one standard deviation shock in renewable energy production from non-conventional sources, the spot price volatility increases from 12.7 % to 14.5 % in a 365-day horizon, which represents a relative increase of 14.2 %. Also, when evaluating different renewable energy integration scenarios and the official system expansion, we see that assuming 100 % fulfilment of the non-conventional sources integration plan, the volatility goes up to 31.2 % vs. 12.3 %. It is also worth noting that if the plan is fulfilled up to 25 % there is no significant increase in spot price volatility, which can be justified by the simultaneous expansion of conventional sources that compensate for the effects of non-conventional renewable sources.eng
dc.identifier.doi10.1016/j.renene.2024.121073
dc.identifier.issn1879-0682
dc.identifier.urihttps://hdl.handle.net/10784/34857
dc.language.isoeng
dc.publisherElseviereng
dc.publisher.departmentUniversidad EAFIT. Escuela de Finanzas, Economía y Gobierno. Área Mercados y Estrategia Financieraspa
dc.publisher.placeMedellínspa
dc.publisher.programGrupo de Investigación Omegaspa
dc.relation.ispartofRenewable Energy, Volume 232, October 2024
dc.relation.isversionofhttps://www.sciencedirect.com/science/article/pii/S0960148124011418
dc.relation.urihttps://www.sciencedirect.com/science/article/pii/S0960148124011418
dc.rightsCopyright © 2024 Elsevier. All rights reserved.
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesseng
dc.rights.localAcceso abiertospa
dc.subject.keywordNon-conventional energy sourceseng
dc.subject.keywordVector error correctioneng
dc.subject.keywordSpot priceeng
dc.subject.keywordTime serieseng
dc.subject.keywordPrice volatilityeng
dc.subject.keywordFinancial riskeng
dc.titleEffect of the intermittency of non-conventional renewable energy sources on the volatility of the Colombian spot priceeng
dc.typeinfo:eu-repo/semantics/articleeng
dc.typearticleeng
dc.type.hasVersionpublishedVersioneng
dc.type.localArtículospa

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