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Predicción de la volatilidad en el mercado del petróleo mexicano ante la presencia de efectos asimétricos

Author

Listed:
  • Raúl De Jesús Gutiérrez
  • Reyna Vergara González
  • Miguel A. Díaz Carreño

Abstract

Esta investigación evalúa el poder predictivo de una familia de modelos GARCH usados en la predicción de la volatilidad de los rendimientos de la Mezcla Mexicana de Exportación durante el periodo del 2 de enero de 1989 al 30 de diciembre de 2011. Los resultados empíricos evidencian un alto grado de persistencia y la presencia de efectos asimétricos en la volatilidad. Aunque la prueba de predicción sesgada muestra que el modelo IGARCH proporciona el mejor ajuste para recoger la persistencia infinita de los choques en la volatilidad, estos hallazgos no son sustentados por las robustas funciones de pérdidas y la prueba estadística de DieboldMariano, debido a que los modelos GARCH y EGARCH proporcionan mejores predicciones de la volatilidad fuera de muestra para los horizontes de 1 y 5 días. ***** This article assesses the predictive ability of a GARCH-class model family, which can be used to forecast the volatility for Export Mexican Blend crude oil returns over the January 2, 1989 to December 30, 2011 period. The empirical results show a high degree of persistence and the presence of asymmetric effects in the volatility. Although forecast bias test results show that the IGARCH model yields the best fit to capture the infinite persistence of the shocks on the volatility. These findings are not supported by the robust loss functions and Diebold-Mariano test since the GARCH and EGARCH models provide the best accurate out of sample volatility forecasts of the crude oil returns for the 1 and 5 day horizons.

Suggested Citation

  • Raúl De Jesús Gutiérrez & Reyna Vergara González & Miguel A. Díaz Carreño, 2015. "Predicción de la volatilidad en el mercado del petróleo mexicano ante la presencia de efectos asimétricos," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, March.
    • Handle: RePEc:col:000093:012721
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    References listed on IDEAS

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    More about this item

    Keywords

    petróleo crudo; volatilidad; modelos GARCH; pruebas de predicciónóptima.;
    All these keywords.

    JEL classification:

    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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