Simulação de modelos GARCH para séries temporais univariadas de demanda de energia elétrica para consumidores livres em regime de curto prazo

Abstract

This work proposes to determine a consistent and representative quantitative model for the volatility forecast of electric power demand, for independent consumers, in short-term regimen, through the simulation of GARCH models for temporary univariate series, in which the behavior of present industrial loads will be evaluated using actual data, aiming at the forecast of the volatility of short-term (one week). This study presents a revision of the literature on some statistical models of forecast and mainly on the GARCH model used in this work, presenting its particularities and applicability. The accomplished simulation is based in the construction of non-linear univariate models in order to forecast the volatility associated with the demand, and is based on data of power demand time series. A software program was developed, based on the toolbox GARCH of the Software MATLAB 7.0.1.