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Dinámicas del tipo de cambio nominal y del IPC, 1991-2014: una especificación que combina los modelos ARFIMA y GARCH

Author

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  • Héctor F. Salazar-Núñez.

    () (Instituto Politécnico Nacional.)

  • Francisco Venegas Martínez.

    () (Instituto Politécnico Nacional.)

Abstract

En este trabajo se utilizan los modelos ARFIMA y GARCH, así como combinaciones de ellos para detectar algún tipo de memoria en el tipo de cambio nominal USD-MXN y el índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores durante el periodo 1991-2014. El principal hallazgo empírico es que ambas series presentan evidencia de memoria larga y de ARCH. Sin embargo, los modelos ARFIMA y GARCH no explican por sí mismos el comportamiento de las variables, mientras que su combinación (la media tiene memoria larga y la varianza cambia con el tiempo) presenta un mejor ajuste de acuerdo a las pruebas de Hosking y de Sowell y al criterio de información de Akaike.

Suggested Citation

  • Héctor F. Salazar-Núñez. & Francisco Venegas Martínez., 2016. "Dinámicas del tipo de cambio nominal y del IPC, 1991-2014: una especificación que combina los modelos ARFIMA y GARCH," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 44(1), pages 147-168, Enero-Jun.
  • Handle: RePEc:ety:journl:v:44:y:2016:i:1:p:147-168
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    File URL: http://dx.doi.org/10.24275/ETYPUAM/NE/442016/Salazar
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    Keywords

    mercados bursátiles; mercados cambiarios; memoria larga; modelos econométricos de series temporales;

    JEL classification:

    • N2 - Economic History - - Financial Markets and Institutions
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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