Modelación y comovimientos de la tasa de cambio colombiana, 2011-2017 // Modeling and comovements of the Colombian exchange rate, 2011-2017

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Palabras clave:

variables macroeconómicas, modelos de pronóstico, tasa de cambio, correlación.

Resumen

La tasa de cambio está influenciada por múltiples factores macroeconómicos nacionales e internacionales, lo que genera altos niveles de incertidumbre. El objetivo de esta investigación es la construcción de modelos ARIMA-GARCH y ARIMAX-GARCH como herramienta para el pronóstico de la tasa de cambio en Colombia a partir de los retornos diarios de los precios de cierre USD/COP y su análisis de correlación dinámica con algunas variables de interés. Los resultados sugieren que la incorporación de variables exógenas significativas dentro de la modelación ARIMAX-GARCH con correlación persistente según el modelo DCC (por sus siglas en inglés Dinamic Conditional Correlation) al par USD/COP genera pronósticos fuera de muestra con mejor desempeño que los modelos univariados ARIMA-GARCH.

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The exchange rate is influenced by multiple national and international macroeconomic factors, which generates high levels of uncertainty. The objective of this research is the construction of ARIMA-GARCH and ARIMAX-GARCH models as a tool for the forecast of the exchange rate in Colombia from the daily returns of the closing prices USD/COP and its analysis of dynamic correlation with some of the most explicative variables. The results suggest that the incorporation of significant exogenous variables within the ARIMAX-GARCH model with persistent correlation according to the DCC (Dinamic Conditional Correlation) model to the USD/COP pair generates out-of-sample forecasts with better performance than the ARIMA-GARCH univariate models.

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Publicado

2019-11-08

Cómo citar

Maya Sierra, G., & Marin Rodríguez, N. J. (2019). Modelación y comovimientos de la tasa de cambio colombiana, 2011-2017 // Modeling and comovements of the Colombian exchange rate, 2011-2017. Revista De Métodos Cuantitativos Para La Economía Y La Empresa, 28, 301-341. Recuperado a partir de https://www.upo.es/revistas/index.php/RevMetCuant/article/view/2966

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