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

Author

Listed:
  • Antonio Ruiz-Porras

    (Departamento de Métodos Cuantitativos. Universidad de Guadalajara, CUCEA. Zapopan, Jalisco, México.)

  • Javier Emmanuel Anguiano Pita

    (Universidad de Guadalajara, CUCEA. Zapopan, Jalisco, México.)

Abstract

Estudiamos las dinámicas, volatilidades e interrelaciones de los rendimientos del petróleo mexicano (MME), Brent y WTI con doce modelos GARCH multivariados. Los resultados sugieren que: 1) la volatilidad de la MME es mayor que la del WTI y menor que la del Brent; 2) el modelo AR(1)-TGARCH(1,1) con una distribución t-de-Student multivariada es el que mejor describe los rendimientos; 3) existen algunas interrelaciones entre las volatilidades de los rendimientos y 4) las buenas y malas noticias tienen impactos asimétricos sobre las volatilidades. El estudio usa datos diarios de los precios spot del petróleo y de sus rendimientos para el periodo 03/01/2000-11/02/2016.

Suggested Citation

  • Antonio Ruiz-Porras & Javier Emmanuel Anguiano Pita, 2016. "Modelación de las dinámicas, volatilidades e interrelaciones de los rendimientos del petróleo mexicano, BRENT y WTI," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 175-194, November.
    • Handle: RePEc:ere:journl:v:xxxv:y:2016:i:2:p:175-194
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    References listed on IDEAS

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    More about this item

    Keywords

    Rendimientos del petróleo; MME; Brent; WTI; Modelos GARCH Multivariados;
    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

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