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Volatilidad del Precio de la Mezcla Mexicana de Exportación
[Price Volatility of the Mexican Export Crude Oil Blend]

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Author Info

  • Dávila-Pérez, Javier
  • Nuñez-Mora, Jose Antonio
  • Ruiz-Porras, Antonio

Abstract

We propose a model to estimate the price volatility in of the Mexican Export Crude Oil Blend. The analysis relies on the conditional standard deviations obtained from a GARCH model. Data includes diary oil prices between January 2nd, 1998 and February 14th, 2007. The chosen model is of the GARCH (1,1) type. Asymmetric volatility effects are not detected. Furthermore, the results are compared with an estimate of the historic volatility based on previous returns. Such comparison confirms the convergence of the estimated GARCH conditional variance to its own non conditional one.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 3562.

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Date of creation: 21 Mar 2007
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Handle: RePEc:pra:mprapa:3562

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Keywords: Volatility; Oil; ARCH-GARCH Models;

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