Institute for Research in Technology —
Instituto de Investigación Tecnológica
Details of the project
||Strategic medium-term model for the Spanish electricity market
||May 2004 - April 2005
||Gas Natural Electricidad
||The objective of this project is the development of an analysis tool that allows Gas Natural Electricidad, which is an integrated firm operating in the Spanish power market, to evaluate the future evolution of the prices in the market in the middle term, i.e., ranging from one year to four or five years, both quantitatively and qualitatively.
Our study tries to provide a software tool able to support some of the medium term decisions of the firm, bringing a numerical evaluation of the different alternatives. In order to do so, the project is built around the MARAPE model, with a specific development made for Gas Natural.
The model opts for a mixed approach, where the main risk factors (demand, hydro production,...) are studied through quantitative models (time series, ARIMA and GARCH models) that are used to generate future scenarios that feed a strategic production costing model that computes the prices and productions in the market, simulating the producers' behavior.
The project will construct a tailored version of the model suited to Gas Natural and to its needs and availability of data. Later on, new developments will be incorporated to reflect the specific features of the market that are more relevant to the client (for instance, elements related with the future Iberian Electricity Market, the characteristics of the natural gas supply contracts, etc.)
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