Valuing a natural gas pipeline expansion project: A copula-TGARCH application in Mexico
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 v...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2019 |
| País: | México |
| Institución: | Instituto Tecnológico y de Estudios Superiores de Monterrey |
| Repositorio: | Redalyc-ITESM |
| OAI Identifier: | oai:redalyc.org:39571725005 |
| Acceso en línea: | 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 |
| Access Level: | acceso abierto |
| Palabra clave: | Administración y Contabilidad C14 C58 C22 G32 H54 |
| Sumario: | 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. |
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