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Estudio empirico sobre el tipo de cambio MXN/USD movimiento browniano geometrico versus proceso varianza-gamma

Author

Listed:
  • Alejandro Mosino

    (Universidad de Guanajuato)

  • Laura Andrea Salomon-Nunez

    (Universidad de Guanajuato)

  • Alejandro Tatsuo Moreno-Okuno

    (Universidad de Guanajuato)

Abstract

En este articulo examinamos el comportamiento del mercado cambiario en Mexico, el cual se caracteriza por movimientos extremos muy frecuentes ocasionados por la informacion generada dentro del mercado financiero y el entorno macroeconomico internacional. Modelamos estos movimientos extremos utilizando un proceso varianza gamma, el cual nos permite capturar el sesgo y el exceso de curtosis de los rendimientos del tipo de cambio. Concluimos que, en general, este proceso ajusta mejor a los datos que el movimiento browniano geometrico – basado en la densidad normal– y nos permite estimar con mayor precision el Valor en Riesgo (VaR). Mostramos, ademas, que el ajuste mejora conforme aumenta la ventana temporal utilizada para calcular los rendimientos del mercado cambiario. Finalmente, realizamos un backtesting del VaR mediante la prueba de Kupiec.

Suggested Citation

  • Alejandro Mosino & Laura Andrea Salomon-Nunez & Alejandro Tatsuo Moreno-Okuno, 2019. "Estudio empirico sobre el tipo de cambio MXN/USD movimiento browniano geometrico versus proceso varianza-gamma," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 16(1), pages 33-56, Enero-Jun.
    • Handle: RePEc:qua:journl:v:16:y:2019:i:1:p:33-56
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    More about this item

    Keywords

    Tipo de cambio; movimiento browniano geometrico; proceso varianza-gamma; valor en riesgo; prueba de Kupiec.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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