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Impactos de los Anuncios de Política Monetaria y del Vencimiento de Derivados sobre la Volatilidad del Tipo de Cambio del Peso Mexicano: Modelos GARCH y OCHL Range

Author

Listed:
  • Magnolia Miriam Sosa Castro

    (UNIVERSIDAD AUTÓNOMA METROPOLITANA-IZTAPALAPA)

  • Maria Alejandra Cabello Rosales

    (Universidad Nacional Autónoma de México)

  • Edgar Ortiz Calisto

    (Universidad Autónoma de México)

Abstract

El presente artículo tiene por objetivo analizar el impacto de los anuncios de cambios de tasas de interés y del vencimiento de los derivados en la volatilidad cambiaria en México. Para ello, primero se estima la volatilidad mediante cuatro medidas de volatilidad de rango (modelos OCLH) y tres extensiones de la familia GARCH (GARCH, TARCH y EGARCH) asumiendo distribución normal, t-Student y GED. Una vez estimadas las volatilidades, se estima el impacto de los anuncios de política monetaria y del vencimiento de derivados en el MexDer. Se emplean datos diarios de cierre, apertura, máximo y mínimo durante el periodo 2013-Mayo/2024. Los resultados arrojan que las medidas de volatilidad de rango infravaloran la volatilidad cambiaria. Aparentemente, los vencimientos de los derivados y los anuncios de la política monetaria tienen un efecto negativo en las volatilidades de rango/intradía, pero no en la volatilidad condicional que contempla persistencia y asimetría en la volatilidad.

Suggested Citation

  • Magnolia Miriam Sosa Castro & Maria Alejandra Cabello Rosales & Edgar Ortiz Calisto, 2025. "Impactos de los Anuncios de Política Monetaria y del Vencimiento de Derivados sobre la Volatilidad del Tipo de Cambio del Peso Mexicano: Modelos GARCH y OCHL Range," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 103, pages 47-75, January.
    • Handle: RePEc:lde:journl:y:2025:i:103:p:47-75
    DOI: 10.17533/udea.le.n103a358443
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    More about this item

    Keywords

    maturity of derivatives; monetary policy decisions; foreign exchange volatility; GARCH models; range models;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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