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 |
| _version_ | 1818114577981767680 |
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| author | Antonio Ruiz-Porras Javier Emmanuel Anguiano-Pita |
| author_facet | Antonio Ruiz-Porras Javier Emmanuel Anguiano-Pita |
| author_sort | Antonio Ruiz-Porras |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-11T03:52:57Z |
| format | Article |
| id | doaj.art-538e25c3051d4b83aa6f1888df24b7db |
| institution | Directory Open Access Journal |
| issn | 1870-221X 2448-8402 |
| language | English |
| last_indexed | 2024-12-11T03:52:57Z |
| publishDate | 2016-11-01 |
| publisher | Universidad Autónoma de Nuevo León, Facultad de Economía |
| record_format | Article |
| series | Ensayos Revista de Economía |
| spelling | doaj.art-538e25c3051d4b83aa6f1888df24b7db2022-12-22T01:21:51ZengUniversidad Autónoma de Nuevo León, Facultad de EconomíaEnsayos Revista de Economía1870-221X2448-84022016-11-013521751948Modeling the Dynamics, Volatilities and Interrelations of the Mexican, Brent and WTI Oil ReturnsAntonio Ruiz-Porras0Javier Emmanuel Anguiano-Pita1Departamento de Métodos Cuantitativos. Universidad de Guadalajara, CUCEA.Universidad de Guadalajara, CUCEA.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.http://ensayos.uanl.mx/index.php/ensayos/article/view/10Rendimientos del petróleoMMEBrentWTIModelos GARCH Multivariados |
| spellingShingle | Antonio Ruiz-Porras Javier Emmanuel Anguiano-Pita Modeling the Dynamics, Volatilities and Interrelations of the Mexican, Brent and WTI Oil Returns Ensayos Revista de Economía Rendimientos del petróleo MME Brent WTI Modelos GARCH Multivariados |
| title | Modeling the Dynamics, Volatilities and Interrelations of the Mexican, Brent and WTI Oil Returns |
| title_full | Modeling the Dynamics, Volatilities and Interrelations of the Mexican, Brent and WTI Oil Returns |
| title_fullStr | Modeling the Dynamics, Volatilities and Interrelations of the Mexican, Brent and WTI Oil Returns |
| title_full_unstemmed | Modeling the Dynamics, Volatilities and Interrelations of the Mexican, Brent and WTI Oil Returns |
| title_short | Modeling the Dynamics, Volatilities and Interrelations of the Mexican, Brent and WTI Oil Returns |
| title_sort | modeling the dynamics volatilities and interrelations of the mexican brent and wti oil returns |
| topic | Rendimientos del petróleo MME Brent WTI Modelos GARCH Multivariados |
| url | http://ensayos.uanl.mx/index.php/ensayos/article/view/10 |
| work_keys_str_mv | AT antonioruizporras modelingthedynamicsvolatilitiesandinterrelationsofthemexicanbrentandwtioilreturns AT javieremmanuelanguianopita modelingthedynamicsvolatilitiesandinterrelationsofthemexicanbrentandwtioilreturns |