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Modeling and comovements of the Colombian exchange rate, 2011-2017 [Modelación y co-movimientos de la tasa de cambio Colombiana, 2011-2017]

dc.creatorMaya Sierra G.
dc.creatorMarín Rodríguez N.J.
dc.date2019
dc.date.accessioned2020-04-29T14:53:36Z
dc.date.available2020-04-29T14:53:36Z
dc.identifier.issn1886516X
dc.identifier.urihttp://hdl.handle.net/11407/5665
dc.descriptionThe 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.
dc.language.isospa
dc.publisherUniversidad Pablo de Olavide
dc.relation.isversionofhttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85077110612&partnerID=40&md5=743f984a25659ba72c23d8bd219027da
dc.sourceRevista de Metodos Cuantitativos para la Economia y la Empresa
dc.subjectCorrelation
dc.subjectExchange rate
dc.subjectForecast models
dc.subjectMacroeconomic fundamentals
dc.titleModeling and comovements of the Colombian exchange rate, 2011-2017 [Modelación y co-movimientos de la tasa de cambio Colombiana, 2011-2017]
dc.typeArticleeng
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.publisher.programIngeniería Financiera
dc.relation.citationvolume28
dc.relation.citationstartpage301
dc.relation.citationendpage341
dc.publisher.facultyFacultad de Ingenierías
dc.affiliationMaya Sierra, G., Departamento de Ingeniería Financiera, Universidad de Medellín, Colombia; Marín Rodríguez, N.J., Departamento de Economía, Universidad de Medellín, Colombia
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