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Pronóstico y estructuras de volatilidad multiperíodo de la tasa de cambio del peso colombiano

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  • Elkin Castaño

    ()

  • Karoll Gómez
  • Santiago Gallón

    ()

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    Abstract

    El modelo gaussiano GARCH(1,1) ha sido empleado, tradicionalmente, en el estudio de la tasa de cambio; sin embargo, un número importante de estudios recientes (utilizando modelos FIGARCH e HYGARCH) ha encontrado evidencia de persistencia en su volatilidad. En este trabajo, usando una estrategia de modelos anidados, se encontró evidencia a favor del modelo IGARCH bajo una distribución GED. Los pronósticos del modelo IGARCH son usados para calcular la estructura a plazos y la volatilidad multi-período, las cuales permiten conocer las expectativas del mercado sobre la volatilidad de los retornos, en diferentes horizontes de tiempo.

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    File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/48/v27n48_castao_2008.pdf
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    Bibliographic Info

    Article provided by UN - RCE - CID in its journal REVISTA CUADERNOS DE ECONOMÍA.

    Volume (Year): (2008)
    Issue (Month): ()
    Pages:

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    Handle: RePEc:col:000093:004843

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    Keywords: tasa de cambio; volatilidad; volatilidad multiperíodo; GARCH; IGARCH; FIGARCH; HYGARCH; HYAPARCH; distribución GED.;

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