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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

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.

Suggested Citation

  • Karoll Gómez Portilla & Santiago Gallón Gómez, 2007. "Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO, December.
  • Handle: RePEc:col:000151:004425
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    References listed on IDEAS

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    More about this item

    Keywords

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

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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