De Jesús Gutiérrez, Raúl; Carvajal Gutiérrez, Lidia E.; García Salgado, Oswaldo
(EconJournals, 2023-09-25)
This paper estimates a variety of CGARCH and FIGARCH models with normal distribution to capture salient features of Mexico’s Isthmus crude oil return series such as fat tails and volatility clustering as well as asymmetry ...