This paper presents an alpha stable regression model to estimate prices in the Mexican Electric Market. This market began operations in February 2016. The observed prices show great fluctuations in the observed data due to diverse aspects, a seasonality of the demand, the availability of fuel and the problems of congestion in the electrical network. It is relevant in a market context to have a price estimation as accurate as possible for the decision making of supply and demand. This paper proposes a methodology of the price estimation through the application of stable alpha regressions, since the behavior of the electric market has shown the presence of heavy tails in its price distribution. © 2020, Springer Nature Switzerland AG.