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Pronóstico y estructuras de volatilidad multiperíodo de la tasa de cambio del peso colombiano

Author

Listed:
  • Elkin Castano
  • Karoll Gómez
  • Santiago Gallón

Abstract

El modelo gaussiano GARCH(1,1) ha sido empleado, tradicionalmente, en el estudio de la tasa de cambio; sin embargo, un número importante de estudios recientes (utilizando modelos FIGARCH e HYGARCH) ha encontrado evidencia de persistencia en su volatilidad. En este trabajo, usando una estrategia de modelos anidados, se encontró evidencia a favor del modelo IGARCH bajo una distribución GED. Los pronósticos del modelo IGARCH son usados para calcular la estructura a plazos y la volatilidad multi-período, las cuales permiten conocer las expectativas del mercado sobre la volatilidad de los retornos, en diferentes horizontes de tiempo.

Suggested Citation

  • Elkin Castano & Karoll Gómez & Santiago Gallón, 2008. "Pronóstico y estructuras de volatilidad multiperíodo de la tasa de cambio del peso colombiano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, July.
    • Handle: RePEc:col:000093:004843
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    File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/48/v27n48_castao_2008.pdf
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    More about this item

    Keywords

    tasa de cambio; volatilidad; volatilidad multiperíodo; GARCH; IGARCH; FIGARCH; HYGARCH; HYAPARCH; distribución GED.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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