The Volatility of the Parallel Exchange Rate in Venezuela 2005-2015
The parallel exchange rate is one of the most important economic variables for decision making in Venezuela. With the purpose of analyzing the exchange rate considering its inherent characteristics, excess kurtosis, persistence and asymmetry, a theoretical synthesis of the main stochastic volatility...
- Autores:
- Tipo de recurso:
- http://purl.org/coar/resource_type/c_6948
- Fecha de publicación:
- 2017
- Institución:
- Universidad Pedagógica y Tecnológica de Colombia
- Repositorio:
- RiUPTC: Repositorio Institucional UPTC
- Idioma:
- spa
- OAI Identifier:
- oai:repositorio.uptc.edu.co:001/11956
- Acceso en línea:
- https://revistas.uptc.edu.co/index.php/cenes/article/view/5312
https://repositorio.uptc.edu.co/handle/001/11956
- Palabra clave:
- parallel exchange rate
volatility
persistence
stochastic volatility models
EGARCH.
tipo de cambio paralelo
volatilidad
persistencia
modelos estocásticos de volatilidad
EGARCH.
- Rights
- License
- Copyright (c) 2017 Laura Daniela Castillo Paredes, Josefa Ramoni Perazzi
| id |
REPOUPTC2_9ae3dcd1de5bd4d19e9dea6a161be41e |
|---|---|
| oai_identifier_str |
oai:repositorio.uptc.edu.co:001/11956 |
| network_acronym_str |
REPOUPTC2 |
| network_name_str |
RiUPTC: Repositorio Institucional UPTC |
| repository_id_str |
|
| dc.title.en-US.fl_str_mv |
The Volatility of the Parallel Exchange Rate in Venezuela 2005-2015 |
| dc.title.es-ES.fl_str_mv |
La volatilidad del tipo de cambio paralelo en Venezuela 2005-2015 |
| title |
The Volatility of the Parallel Exchange Rate in Venezuela 2005-2015 |
| spellingShingle |
The Volatility of the Parallel Exchange Rate in Venezuela 2005-2015 parallel exchange rate volatility persistence stochastic volatility models EGARCH. tipo de cambio paralelo volatilidad persistencia modelos estocásticos de volatilidad EGARCH. |
| title_short |
The Volatility of the Parallel Exchange Rate in Venezuela 2005-2015 |
| title_full |
The Volatility of the Parallel Exchange Rate in Venezuela 2005-2015 |
| title_fullStr |
The Volatility of the Parallel Exchange Rate in Venezuela 2005-2015 |
| title_full_unstemmed |
The Volatility of the Parallel Exchange Rate in Venezuela 2005-2015 |
| title_sort |
The Volatility of the Parallel Exchange Rate in Venezuela 2005-2015 |
| dc.subject.en-US.fl_str_mv |
parallel exchange rate volatility persistence stochastic volatility models EGARCH. |
| topic |
parallel exchange rate volatility persistence stochastic volatility models EGARCH. tipo de cambio paralelo volatilidad persistencia modelos estocásticos de volatilidad EGARCH. |
| dc.subject.es-ES.fl_str_mv |
tipo de cambio paralelo volatilidad persistencia modelos estocásticos de volatilidad EGARCH. |
| description |
The parallel exchange rate is one of the most important economic variables for decision making in Venezuela. With the purpose of analyzing the exchange rate considering its inherent characteristics, excess kurtosis, persistence and asymmetry, a theoretical synthesis of the main stochastic volatility models is made and a set of models is estimated. The results show that the model that best explains its behavior is an EGARCH (1.1); it captures the asymmetric effect of stochastic perturbations on the series. Negative shocks (depreciation of the parallel exchange rate) increase the volatility while positive shocks (appreciation of the parallel exchange rate) seem not to exert any effect. |
| publishDate |
2017 |
| dc.date.accessioned.none.fl_str_mv |
2024-07-05T18:44:37Z |
| dc.date.available.none.fl_str_mv |
2024-07-05T18:44:37Z |
| dc.date.none.fl_str_mv |
2017-02-08 |
| dc.type.none.fl_str_mv |
info:eu-repo/semantics/article |
| dc.type.en-US.fl_str_mv |
Peer reviewed Article |
| dc.type.coar.fl_str_mv |
http://purl.org/coar/resource_type/c_2df8fbb1 |
| dc.type.coarversion.fl_str_mv |
http://purl.org/coar/version/c_970fb48d4fbd8a85 |
| dc.type.coar.spa.fl_str_mv |
http://purl.org/coar/resource_type/c_6948 |
| dc.type.version.spa.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
| dc.type.coarversion.spa.fl_str_mv |
http://purl.org/coar/version/c_970fb48d4fbd8a532 |
| format |
http://purl.org/coar/resource_type/c_6948 |
| status_str |
publishedVersion |
| dc.identifier.none.fl_str_mv |
https://revistas.uptc.edu.co/index.php/cenes/article/view/5312 10.19053/01203053.v36.n63.2017.5312 |
| dc.identifier.uri.none.fl_str_mv |
https://repositorio.uptc.edu.co/handle/001/11956 |
| url |
https://revistas.uptc.edu.co/index.php/cenes/article/view/5312 https://repositorio.uptc.edu.co/handle/001/11956 |
| identifier_str_mv |
10.19053/01203053.v36.n63.2017.5312 |
| dc.language.none.fl_str_mv |
spa |
| dc.language.iso.spa.fl_str_mv |
spa |
| language |
spa |
| dc.relation.none.fl_str_mv |
https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/4733 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6668 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6901 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6902 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6903 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6904 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6905 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6906 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6907 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6908 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6909 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6910 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6911 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6912 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6913 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6914 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6915 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6916 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6917 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6918 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6919 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6920 https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6921 |
| dc.rights.en-US.fl_str_mv |
Copyright (c) 2017 Laura Daniela Castillo Paredes, Josefa Ramoni Perazzi http://creativecommons.org/licenses/by-nc-sa/4.0 |
| dc.rights.coar.fl_str_mv |
http://purl.org/coar/access_right/c_abf2 |
| dc.rights.coar.spa.fl_str_mv |
http://purl.org/coar/access_right/c_abf449 |
| rights_invalid_str_mv |
Copyright (c) 2017 Laura Daniela Castillo Paredes, Josefa Ramoni Perazzi http://creativecommons.org/licenses/by-nc-sa/4.0 http://purl.org/coar/access_right/c_abf449 http://purl.org/coar/access_right/c_abf2 |
| dc.format.none.fl_str_mv |
application/pdf application/xml application/vnd.openxmlformats-officedocument.wordprocessingml.document application/vnd.openxmlformats-officedocument.wordprocessingml.document application/vnd.openxmlformats-officedocument.wordprocessingml.document application/vnd.openxmlformats-officedocument.wordprocessingml.document application/vnd.openxmlformats-officedocument.wordprocessingml.document application/vnd.openxmlformats-officedocument.wordprocessingml.document application/vnd.openxmlformats-officedocument.wordprocessingml.document application/vnd.openxmlformats-officedocument.wordprocessingml.document application/vnd.openxmlformats-officedocument.wordprocessingml.document application/vnd.openxmlformats-officedocument.wordprocessingml.document application/vnd.openxmlformats-officedocument.wordprocessingml.document application/vnd.openxmlformats-officedocument.wordprocessingml.document application/vnd.openxmlformats-officedocument.wordprocessingml.document image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg application/vnd.openxmlformats-officedocument.wordprocessingml.document |
| dc.publisher.en-US.fl_str_mv |
Universidad Pedagógica y Tecnológica de Colombia |
| dc.source.en-US.fl_str_mv |
Apuntes del Cenes; Vol. 36 No. 63 (2017); 95-135 |
| dc.source.es-ES.fl_str_mv |
Apuntes del Cenes; Vol. 36 Núm. 63 (2017); 95-135 |
| dc.source.none.fl_str_mv |
2256-5779 0120-3053 |
| institution |
Universidad Pedagógica y Tecnológica de Colombia |
| repository.name.fl_str_mv |
Repositorio Institucional UPTC |
| repository.mail.fl_str_mv |
repositorio.uptc@uptc.edu.co |
| _version_ |
1839633881249087488 |
| spelling |
2017-02-082024-07-05T18:44:37Z2024-07-05T18:44:37Zhttps://revistas.uptc.edu.co/index.php/cenes/article/view/531210.19053/01203053.v36.n63.2017.5312https://repositorio.uptc.edu.co/handle/001/11956The parallel exchange rate is one of the most important economic variables for decision making in Venezuela. With the purpose of analyzing the exchange rate considering its inherent characteristics, excess kurtosis, persistence and asymmetry, a theoretical synthesis of the main stochastic volatility models is made and a set of models is estimated. The results show that the model that best explains its behavior is an EGARCH (1.1); it captures the asymmetric effect of stochastic perturbations on the series. Negative shocks (depreciation of the parallel exchange rate) increase the volatility while positive shocks (appreciation of the parallel exchange rate) seem not to exert any effect.El tipo de cambio paralelo constituye una de las principales variables económicas para la toma de decisiones en Venezuela. Para analizar el comportamiento de esta variable tomando en cuenta sus características inherentes, exceso de curtosis, persistencia y asimetría, se hace una síntesis teórica de los principales modelos estocásticos de volatilidad y, se estima un conjunto de modelos. El modelo que mejor ajusta el comportamiento de la variable es un EGARCH (1,1), que captura el efecto asimétrico de las perturbaciones estocásticas sobre la serie. Ante choques negativos (depreciación del tipo de cambio paralelo), la volatilidad asociada se incrementa, pero para choques positivos (apreciación del tipo de cambio paralelo), se mantiene constante.application/pdfapplication/xmlapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentimage/jpegimage/jpegimage/jpegimage/jpegimage/jpegimage/jpegimage/jpegapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentspaspaUniversidad Pedagógica y Tecnológica de Colombiahttps://revistas.uptc.edu.co/index.php/cenes/article/view/5312/4733https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6668https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6901https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6902https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6903https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6904https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6905https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6906https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6907https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6908https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6909https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6910https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6911https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6912https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6913https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6914https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6915https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6916https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6917https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6918https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6919https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6920https://revistas.uptc.edu.co/index.php/cenes/article/view/5312/6921Copyright (c) 2017 Laura Daniela Castillo Paredes, Josefa Ramoni Perazzihttp://creativecommons.org/licenses/by-nc-sa/4.0http://purl.org/coar/access_right/c_abf449http://purl.org/coar/access_right/c_abf2Apuntes del Cenes; Vol. 36 No. 63 (2017); 95-135Apuntes del Cenes; Vol. 36 Núm. 63 (2017); 95-1352256-57790120-3053parallel exchange ratevolatilitypersistencestochastic volatility modelsEGARCH.tipo de cambio paralelovolatilidadpersistenciamodelos estocásticos de volatilidadEGARCH.The Volatility of the Parallel Exchange Rate in Venezuela 2005-2015La volatilidad del tipo de cambio paralelo en Venezuela 2005-2015info:eu-repo/semantics/articlePeer reviewed Articlehttp://purl.org/coar/resource_type/c_6948http://purl.org/coar/resource_type/c_2df8fbb1info:eu-repo/semantics/publishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a532http://purl.org/coar/version/c_970fb48d4fbd8a85Castillo Paredes, Laura DanielaRamoni Perazzi, Josefa001/11956oai:repositorio.uptc.edu.co:001/119562025-07-18 12:13:50.023metadata.onlyhttps://repositorio.uptc.edu.coRepositorio Institucional UPTCrepositorio.uptc@uptc.edu.co |