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Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados

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  • Karoll Gómez Portilla

    ()

  • Santiago Gallón Gómez
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    Abstract

    Un conjunto de modelos GARCH multivariados son estimados y su validez empírica comparada a partir del cálculo de la medida VaR, para los retornos diarios de la tasa de cambio nominal del peso colombiano con respecto al dólar americano, euro, libra esterlina y yen japonés en el periodo 1999–2005. La comparación de las estimaciones para la matriz de covarianza condicional y los resultados obtenidos para la proporción de fallo y el contraste de cuantil dinámico de Engle y Manganelli (2004) presentan evidencia a favor del modelo de correlación condicional constante. *********************************************************************************************************************** A set of multivariate GARCH models is estimated and its empirical validity is compared from the calculation of the Value at Risk. Data used are the daily returns of the nominal exchange rate of the Colombian peso vis-`a-vis the American dollar, euro, sterling and Japanese yen for the period 1999–2005. The comparison of the estimations for the conditional covariance matrix and the results obtained for the proportion of failure and the dynamic quantile test of Engle and Manganelli (2004), show evidence in favor of the model of Conditional Constant Correlation.

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    Bibliographic Info

    Article provided by UNIVERSIDAD DEL ROSARIO in its journal REVISTA DE ECONOMÍA DEL ROSARIO.

    Volume (Year): (2007)
    Issue (Month): ()
    Pages:

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    Handle: RePEc:col:000151:004425

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    Keywords: econometría financiera; modelos MGARCH; volatilidad tiempovariante; correlación; retornos de la tasa de cambio; valor en riesgo;

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