Volatilidad del Precio de la Mezcla Mexicana de Exportación

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

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
• Institution: Tecnológico de Monterrey, Campus Ciudad de México
• English Title: Price Volatility of the Mexican Export Crude Oil Blend
• Language: Spanish
• Keywords: Volatility; Oil; ARCH-GARCH Models
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

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