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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.)

  • Javier Emmanuel Anguiano-Pita

    (Universidad de Guadalajara, CUCEA.)

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 Economía, Universidad Autónoma de Nuevo León, vol. 35(2), pages 175-194, November.
    • Handle: RePEc:ere:journl:v:35:y:2016:i:2:id:10
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