Year-end Sale % OFF 
Abstract
This paper aims to perform an alternative methodology the Ministry of Finance and Public Credit (SHCP) applies to estimate the annual Mexican Crude Oil Mix Export Price (MXM), a crucial element of the General Economic Policy Criteria in the Economic Package. We first identify the MXM and the West Texas Intermediate (WTI) relation, computing tail conditional dependence between both series. Subsequently, we use a market risk analysis approach that considers some methodologies to estimate the value at risk (), including an ARIMA-TGARCH model for the innovations of the MXM's price to forecast its behavior using data daily data from January 3rd, 1996, to December 30th, 2021. Once we identify the VaR and the ARIMA-TGARCH components, we aim to design an alternative method to estimate the annual average MXM's price.
Published Version (
Free)
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: International Journal of Energy Economics and Policy
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
