Volatilidad del Precio de la Mezcla Mexicana de Exportación

Dávila-Pérez, Javier; Nuñez-Mora, Jose Antonio and Ruiz-Porras, Antonio (2007): Volatilidad del Precio de la Mezcla Mexicana de Exportación. Unpublished.

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.

• Item Type: MPRA Paper
• Additional Information: The paper also exists as a working paper. The reference is the following - DAVILA-PEREZ J.; NUÑEZ-MORA J. A. and RUIZ-PORRAS A. (2007) “Volatilidad del precio de la mezcla mexicana de exportación”, Mexico DF (Mexico), ITESM-Accounting and Finance Department, (June 2007), Working paper 2007/02 Available at: http://www.ccm.itesm.mx/dn/dfinanzas/archivos/dt_2007_02.pdf
• Institution: Tecnológico de Monterrey, Campus Ciudad de México
• Language: Spanish
• Keywords: Volatility; Oil; ARCH-GARCH Models
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Other Model Applications; C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions

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