This study examined the price risk of the Belize–Mexico interconnection using ARMA-ARCH models to assess electricity pricing volatility and autoregression to determine the influence of conditional volatilities and import consumption. The findings revealed that the volatility of both markets, especially spot price, showed rare high-impact shocks and prolonged periods of volatile clusters. Volatile pricing tendencies, and forward pricing to a lesser extent, had positive effects on premiums. Premiums were largely dependent on pricing properties and system conditions of the supplier’s (Mexico) side, with negligible influence from the buyer’s (Belize) side. However, significant effects were found during certain hours with the buyer’s loading and transmission loss patterns. Practical implications revealed the possibility of occasional losses caused mostly by information delays and misalignment of risk factors and premiums, which could affect Belize’s power cost affordability and scheduling of local generation. Further research can broaden this current scope to enhance planning on local power supply by integrating current findings on the importation market behavior with the buyer’s local power expansion plan.