A copula-TGARCH approach of conditional dependence between oil price and stock market index: The case of Mexico

Authors

  • Arturo Lorenzo Valdés Universidad de las Américas Puebla
  • Leticia Armenta Fraire Instituto Tecnológico y de Estudios Superiores de Monterrey
  • Rocío Durán Vázquez Universidad de las Américas Puebla

DOI:

https://doi.org/10.24201/ee.v31i1.12

Keywords:

stock returns, oil returns, TGARCH

Abstract

This study applied the Clayton and Gumbel copulas using the TGARCH model for marginal distribution of returns in order to describe the tail dependence between oil prices and the Mexican stock market index (IPC, Index of Prices and Quotations) on a weekly basis, from 2010 to 2014. We found that each of the analyzed series of stock index and oil returns can adequately be described with the proposed TGARCH model, and that there is some degree of conditional dependence in the tails, with greater volatility on the upper (right) tail and more stability on the lower (left) tail.

Downloads

Download data is not yet available.

Downloads

Published

2016-01-01

How to Cite

Lorenzo Valdés, A., Armenta Fraire, L., & Durán Vázquez, R. (2016). A copula-TGARCH approach of conditional dependence between oil price and stock market index: The case of Mexico. Estudios Económicos De El Colegio De México, 31(1), 47–63. https://doi.org/10.24201/ee.v31i1.12
Metrics
Views/Downloads
  • Abstract
    1057
  • PDF
    311
  • XML
    3

Issue

61-vol. 31, no. 1, january-june, 2016

Section

Articles

Metrics