Modeling the strategic behavior of the iberian electricity market producers using time series analysis

The Iberian Electricity Market (MIBEL) emerges in the context of the integration and cooperation between the Portuguese and Spanish electricity markets, in response to the European Union incentive for regional electricity markets creation. The present study, focus on the modeling and forecasting of the hourly competitive strategies of the electricity producers in the MIBEL. For this analysis, the studied variable was the MIBEL´s conjectural variation, which estimates the level of competitiveness of the electricity producers on the day-ahead electricity market. The methodology adopted for forecasting was time series analysis, using ARIMA and exponential smoothing models. The results obtained show that the estimated models that best suit the hourly MIBEL conjectural variation forecast were mainly of the ARIMA seasonal type with daily seasonality, followed by ARIMA non-seasonal type models. It was also observed, that the selected models were mainly estimated with a time series of 5 working days.