Abstract

RUIZ-PORRAS, Antonio  and  ANGUIANO PITA, Javier Emmanuel. Modeling the Dynamics, Volatilities and Interrelations of the Mexican, Brent and WTI Oil Returns. Ens. Rev. econ. [online]. 2016, vol.35, n.2, pp.175-193. ISSN 2448-8402.

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.

Keywords : Oil returns; MME; Brent; WTI; Multivariate GARCH models.

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