Predicting Price Volatility of Mexican Petroleum: Asymmetric CGARCH with Normal and Laplace Distributions

Abstract

One of the problems  associated with oil exports is  the   price   volatility, whose   behavior   was characterized by large crashes  in recent decades. This behavior has  become a crucial factor determining the instability and  lack of economic growth in emerging countries whose incomes are substantially dependent on its oil revenues.  This is the case  of Mexico. This work predicts volatility of returns of prices of Mexican export petroleum Maya and  Istmo applying an extended  GARCH and two cases of conditional distribution during the period 1989 to 2012.  The results were subjected to statistical Diebold-Mariano test.