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Análisis de la dinámica del rendimiento de precios del platino mediante modelos de series de tiempo

Author

Listed:
  • Beltrán, Jaime H.

    (Instituto Tecnológico y de Estudios Superiores de Monterrey)

  • Núñez, José A.

    (Instituto Tecnológico y de Estudios Superiores de Monterrey)

Abstract

A través del análisis de causalidad de Granger y el modelo GARCH multivariado estudiamos diferentes variables que afectan el rendimiento del precio spot del platino. Los datos revelan que existe una relación de causalidad bidireccional en el sentido de Granger entre el tipo de cambio dólar-yen y el rendimiento del precio spot del platino, modelada mediante el GARCH multivariado./ Using Granger causality analysis and multivariate GARCH model, we studied different variables affecting the return of platinum spot price. The data reveal that there is a bidirectional causality relation in the Granger sense, between the dollar-yen exchange rate and the return of platinum spot price modeled with a multivariate GARCH model.

Suggested Citation

  • Beltrán, Jaime H. & Núñez, José A., 2014. "Análisis de la dinámica del rendimiento de precios del platino mediante modelos de series de tiempo," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(18), pages 57-76, primer se.
    • Handle: RePEc:ipn:panora:v:ix:y:2014:i:18:p:57-76
    as

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    References listed on IDEAS

    as
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    2. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.
    3. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    4. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    causalidad; platino; GARCH multivariado./ causality; platinum; multivariate GARCH.;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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