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


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


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.

Suggested Citation

  • Dávila-Pérez, Javier & Nuñez-Mora, Jose Antonio & Ruiz-Porras, Antonio, 2007. "Volatilidad del Precio de la Mezcla Mexicana de Exportación
    [Price Volatility of the Mexican Export Crude Oil Blend]
    ," MPRA Paper 3562, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:3562

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    Cited by:

    1. 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.

    More about this item


    Volatility; Oil; ARCH-GARCH Models;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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