Modelación de las dinámicas, volatilidades e interrelaciones de los rendimientos del petróleo mexicano, BRENT y WTI

Autor:

Antonio Ruiz-Porras

Paginas: 20
Año: 2016
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Abstract: We study the dynamics, volatilities and interrelations of the Mexican (MME), Brent and WTI oil returns with twelve multivariate GARCH models. The main results suggest that: 1) The volatility of MME is bigger than the one of the WTI, but smaller than the one of Brent. 2) The AR (1)-TGARCH (1,1) model with a multivariate t-Student distribution is the best one to describe the returns. 4) There are some interrelations among the volatilities of returns; and 4) good and bad news have asymmetric impacts on the volatilities. The study uses daily data of oil spot prices and their returns for the period 01/03/2000- 11/02/2016.
URL: http://www.repositorioredgobmet.org.mx/wp-content/uploads/2017/08/2016-Ruiz-Porras-Rendimiento-petroleo.pdf