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

Listed author(s):
  • 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.)

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.

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File URL: http://www.economia.uanl.mx/revistaensayos/xxxv/2/3_Modelacion_Porras.pdf
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Article provided by Universidad Autonoma de Nuevo Leon, Facultad de Economia in its journal Ensayos Revista de Economia.

Volume (Year): XXXV (2016)
Issue (Month): 2 (November)
Pages: 175-194

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Handle: RePEc:ere:journl:v:xxxv:y:2016:i:2:p:175-194
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  1. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.
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  13. Sánchez Albavera, Fernando & Vargas, Alejandro, 2005. "La volatilidad de los precios del petróleo y su impacto en América Latina," Recursos Naturales e Infraestructura 100, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
  14. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September.
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  16. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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