Modeling and comovements of the Colombian exchange rate, 2011-2017 [Modelación y co-movimientos de la tasa de cambio Colombiana, 2011-2017]
The exchange rate is influenced by multiple national and international macroeconomic factors, which generates high levels of uncertainty. The objective of this research is the construction of ARIMA-GARCH and ARIMAX-GARCH models as a tool for the forecast of the exchange rate in Colombia from the dai...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2019
- Institución:
- Universidad de Medellín
- Repositorio:
- Repositorio UDEM
- Idioma:
- spa
- OAI Identifier:
- oai:repository.udem.edu.co:11407/5665
- Acceso en línea:
- http://hdl.handle.net/11407/5665
- Palabra clave:
- Correlation
Exchange rate
Forecast models
Macroeconomic fundamentals
- Rights
- License
- http://purl.org/coar/access_right/c_16ec
| Summary: | The exchange rate is influenced by multiple national and international macroeconomic factors, which generates high levels of uncertainty. The objective of this research is the construction of ARIMA-GARCH and ARIMAX-GARCH models as a tool for the forecast of the exchange rate in Colombia from the daily returns of the closing prices USD/COP and its analysis of dynamic correlation with some of the most explicative variables. The results suggest that the incorporation of significant exogenous variables within the ARIMAX-GARCH model with persistent correlation according to the DCC (Dinamic Conditional Correlation) model to the USD/COP pair generates out-of-sample forecasts with better performance than the ARIMA-GARCH univariate models. © 2019, Universidad Pablo de Olavide. |
|---|