Modeling the Dynamics, Volatilities and Interrelations of the Mexican, Brent and WTI Oil Returns
We study the dynamics, volatilities, and interrelations of the Mexican (MME), Brent and WTI oil returns with twelve multivariate GARCH models. The main results suggest that: 1) The volatility of MME is bigger than the one of the WTI but smaller than the one of Brent. 2) The AR (1)-TGARCH (1,1) model...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Universidad Autónoma de Nuevo León, Facultad de Economía
2016-11-01
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| Series: | Ensayos Revista de Economía |
| Subjects: | |
| Online Access: | http://ensayos.uanl.mx/index.php/ensayos/article/view/10 |
| Summary: | We study the dynamics, volatilities, and interrelations of the Mexican (MME), Brent and WTI oil returns with twelve multivariate GARCH models. The main results suggest that: 1) The volatility of MME is bigger than the one of the WTI but smaller than the one of Brent. 2) The AR (1)-TGARCH (1,1) model with a multivariate t-Student distribution is the best one to describe the returns. 4) There are some interrelations among the volatilities of returns, and 4) good and bad news have asymmetric impacts on the volatilities. The study uses daily data of oil spot prices and their returns for the period 01/03/2000- 11/02/2016. |
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| ISSN: | 1870-221X 2448-8402 |