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Estudio empírico sobre el tipo de cambio MXN/USD: Movimiento Browniano Geométrico vs. Proceso Varianza-Gamma
[Empirical analysis of the MXN/USD exchange rate: geometric Brownian motion vs. variance-gamma process]

Author

Listed:
  • Mosiño, Alejandro
  • Salomón-Núñez, Laura A.
  • Moreno-Okuno, Alejandro T.

Abstract

En este artículo examinamos el comportamiento del mercado cambiario, el cual se caracteriza por movimientos extremos muy frecuentes ocasionados por la información generada dentro del mercado financiero y el entorno macroeconómico internacional. Utilizando datos del tipo de cambio MXN/USD, comparamos dos modelos estocásticos: el movimiento browniano geométrico (MBG), el cual está basado en la densidad normal, y el proceso varianza-gamma (PVG), el cual nos permite capturar el sesgo y el exceso de curtosis de los cambios en los precios. Concluimos que, en general, el PVG ajusta mejor a los datos que el MBG. Mostramos, además, que el ajuste mejora conforme aumenta la ventana temporal utilizada para calcular los rendimientos del mercado cambiario.

Suggested Citation

  • Mosiño, Alejandro & Salomón-Núñez, Laura A. & Moreno-Okuno, Alejandro T., 2017. "Estudio empírico sobre el tipo de cambio MXN/USD: Movimiento Browniano Geométrico vs. Proceso Varianza-Gamma [Empirical analysis of the MXN/USD exchange rate: geometric Brownian motion vs. variance," MPRA Paper 78961, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:78961
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    File URL: https://mpra.ub.uni-muenchen.de/78961/1/MPRA_paper_78961.pdf
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    References listed on IDEAS

    as
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    3. Conall O'Sullivan & Michael Moloney, 2010. "The Variance Gamma Scaled Self-Decomposable Process in Actuarial Modelling," Working Papers 201030, Geary Institute, University College Dublin.
    4. Ahmet Göncü & Mehmet Oguz Karahan & Tolga Umut Kuzubas, 2013. "Fitting the Variance-Gamma Model: A Goodness-of-Fit Check for Emerging Markets," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 27(2), pages 1-10.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Tipo de cambio; Movimiento Browniano Geométrico; Proceso Varianza-Gamma;
    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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