Modelación y co-movimientos de la tasa de cambio Colombiana, 2011-2017

Translated title of the contribution: Modeling and comovements of the Colombian exchange rate, 2011-2017

Giuliana Maya Sierra, Nini Johana Marín Rodríguez

Research output: Contribution to journalArticlepeer-review

Abstract

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.

Translated title of the contributionModeling and comovements of the Colombian exchange rate, 2011-2017
Original languageSpanish
Pages (from-to)301-341
Number of pages41
JournalRevista de Metodos Cuantitativos para la Economia y la Empresa
Volume28
StatePublished - 1 Jan 2019

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