The Impact of Coskewness and Cokurtosis as Augmentation Factors in Modeling Colombian Electricity Price Returns

This paper explores the empirical validity of an augmented volume model for Colombian electricity price returns (in present study, definition is simply “rate change” observed prices different periods). Of particular interest impact coskewness and cokurtosis when modeling returns. We found that as augmentation factor highly significant should be considered The results obtained in a are consistent using either Ordinary Least Square (OLS) Generalized Method Moments (GMM) specification data employed. On other hand, effect irrelevant not most cases under proposed specification.