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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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    References listed on IDEAS

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    1. Engel, Charles & Bianchi, Javier & Bigio, Saki, 2021. "Scrambling for Dollars: International Liquidity, Banks and Exchange Rates," CEPR Discussion Papers 16712, C.E.P.R. Discussion Papers.
    2. Helena Glebocki Keefe, 2020. "The impact of exchange rate volatility on inflation targeting monetary policy in emerging and advanced economies," International Finance, Wiley Blackwell, vol. 23(3), pages 417-433, December.
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    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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