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 |
| Published: |
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 |