Resumen
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.
| Título traducido de la contribución | Modeling and comovements of the Colombian exchange rate, 2011-2017 |
|---|---|
| Idioma original | Español |
| Páginas (desde-hasta) | 301-341 |
| Número de páginas | 41 |
| Publicación | Revista de Metodos Cuantitativos para la Economia y la Empresa |
| Volumen | 28 |
| Estado | Publicada - 1 ene 2019 |
Palabras clave
- Correlation
- Exchange rate
- Forecast models
- Macroeconomic fundamentals
Huella Profundice en los temas de investigación de 'Modelación y co-movimientos de la tasa de cambio Colombiana, 2011-2017'. En conjunto forman una huella única.
Citar esto
Maya Sierra, G., & Marín Rodríguez, N. J. (2019). Modelación y co-movimientos de la tasa de cambio Colombiana, 2011-2017. Revista de Metodos Cuantitativos para la Economia y la Empresa, 28, 301-341.