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Volatilidad del Precio de la Mezcla Mexicana de Exportación

Price Volatility of the Mexican Export Crude Oil Blend

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

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Volatility; Oil; ARCH-GARCH Models (search for similar items in EconPapers)
JEL-codes: C22 C53 (search for similar items in EconPapers)
Date: 2007-03-21
New Economics Papers: this item is included in nep-ene
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:3562

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