Valuing a natural gas pipeline expansion project: A copula-TGARCH application in Mexico
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| Formato: | Artículo científico |
| Lenguaje: | en |
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Universidad Nacional Autónoma de México
2019
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| _version_ | 1876454346592354304 |
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| author | Ricardo Massa Roldán |
| author_facet | Ricardo Massa Roldán |
| contents | Valuing a natural gas pipeline expansion project: A copula-TGARCH application in Mexico Ricardo Massa Roldán Montserrat Reyna Miranda Administración y Contabilidad C14 C58 C22 G32 H54 With the liberalization of energy prices and the opening of the energy sector to competitors in Mexico, an opportunity for new investment projects is now open. Due to the current conditions of international energy markets, such as volatility and low prices with no prospect of reversion, a need for valuation tools to better capture the risk and benefits of a project presents itself. We propose a methodology based on the volatility treatment of numerous underlying assets in a Real Options Analysis: using a TGARCH for the individual volatilities and copulas for the joint effect. The methodology is applied to a natural gas distribution project of Mexico’s State oil company Petróleos Mexicanos (PEMEX). An estimated net present value of the gas pipeline is provided, considering the real options perspective. The result of our empirical application validates the real option’s theory of a higher net present value estimation for the project when incorporating the effect of different sources of uncertainty and non-linear interdependence. 2019 artículo científico 0186-1042 https://www.redalyc.org/articulo.oa?id=39571725005 https://www.redalyc.org/journal/395/39571725005/ https://www.redalyc.org/journal/395/39571725005/html/ https://www.redalyc.org/journal/395/39571725005/39571725005.epub https://www.redalyc.org/journal/395/39571725005/movil 10.22201/fca.24488410e.2018.1476 en http://www.redalyc.org/revista.oa?id=395 Contaduría y Administración application/pdf Universidad Nacional Autónoma de México Contaduría y Administración (México) Num.2 Vol.64 |
| format | Artículo científico |
| id | redalyc_39571725005 |
| institution | Redalyc |
| language | en |
| publishDate | 2019 |
| publisher | Universidad Nacional Autónoma de México |
| spellingShingle | Valuing a natural gas pipeline expansion project: A copula-TGARCH application in Mexico Ricardo Massa Roldán Administración y Contabilidad C14 C58 C22 G32 H54 Valuing a natural gas pipeline expansion project: A copula-TGARCH application in Mexico Ricardo Massa Roldán Montserrat Reyna Miranda Administración y Contabilidad C14 C58 C22 G32 H54 With the liberalization of energy prices and the opening of the energy sector to competitors in Mexico, an opportunity for new investment projects is now open. Due to the current conditions of international energy markets, such as volatility and low prices with no prospect of reversion, a need for valuation tools to better capture the risk and benefits of a project presents itself. We propose a methodology based on the volatility treatment of numerous underlying assets in a Real Options Analysis: using a TGARCH for the individual volatilities and copulas for the joint effect. The methodology is applied to a natural gas distribution project of Mexico’s State oil company Petróleos Mexicanos (PEMEX). An estimated net present value of the gas pipeline is provided, considering the real options perspective. The result of our empirical application validates the real option’s theory of a higher net present value estimation for the project when incorporating the effect of different sources of uncertainty and non-linear interdependence. 2019 artículo científico 0186-1042 https://www.redalyc.org/articulo.oa?id=39571725005 https://www.redalyc.org/journal/395/39571725005/ https://www.redalyc.org/journal/395/39571725005/html/ https://www.redalyc.org/journal/395/39571725005/39571725005.epub https://www.redalyc.org/journal/395/39571725005/movil 10.22201/fca.24488410e.2018.1476 en http://www.redalyc.org/revista.oa?id=395 Contaduría y Administración application/pdf Universidad Nacional Autónoma de México Contaduría y Administración (México) Num.2 Vol.64 |
| title | Valuing a natural gas pipeline expansion project: A copula-TGARCH application in Mexico |
| topic | Administración y Contabilidad C14 C58 C22 G32 H54 |
| url | https://www.redalyc.org/articulo.oa?id=39571725005 https://www.redalyc.org/journal/395/39571725005/ https://www.redalyc.org/journal/395/39571725005/html/ https://www.redalyc.org/journal/395/39571725005/39571725005.epub https://www.redalyc.org/journal/395/39571725005/movil |