Show simple item record

dc.contributor.authorCastillo Paredes, Laura Danielaspa
dc.contributor.authorRamoni Perazzi, Josefaspa
dc.contributor.authorUniversidad de los Andes (Venezuela)spa
dc.date.accessioned2017-06-29T22:13:43Z
dc.date.available2017-06-29T22:13:43Z
dc.date.issued2017-02-08
dc.identifier.citationCastillo Paredes, L. D. y Ramoni Perazzi, J. (2017). La volatilidad del tipo de cambio paralelo en Venezuela 2005-2015. Revista Apuntes del CENES, 36(63), p.95-135. DOI: https://doi.org/10.19053/01203053.v36.n63.2017.5312. http://repositorio.uptc.edu.co/handle/001/1737spa
dc.identifier.issn0120-3053
dc.identifier.issn2256-5779 En línea
dc.identifier.urihttps://repositorio.uptc.edu.co/handle/001/1737
dc.descriptionPáginas 95-135.spa
dc.description.abstractEl 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.spa
dc.description.abstractABSTRACT: 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.spa
dc.format.mimetypeapplication/pdfspa
dc.language.isospaspa
dc.publisherUniversidad Pedagógica y Tecnológica de Colombiaspa
dc.rightsCopyright (c) 2017 Apuntes del CENESspa
dc.rights.urihttps://creativecommons.org/licenses/by-nc/4.0/spa
dc.sourcehttp://revistas.uptc.edu.co/index.php/cenes/article/view/5312/4733spa
dc.subjectModelos económicos - Venezuelaspa
dc.subjectAnálisis de series de tiempospa
dc.subjectCambio exterior - Investigacionesspa
dc.subjectConvertibilidad de la monedaspa
dc.subjectProcesos estocásticosspa
dc.subjectMercado de capitalesspa
dc.subjectMétodo de momentos (Estadística)spa
dc.subjectModelos econométricosspa
dc.titleLa volatilidad del tipo de cambio paralelo en Venezuela 2005-2015spa
dc.typeArtículo de revistaspa
dc.description.notesArtículo revisado por pares.spa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccessspa
dc.subject.lembTeoría económicaspa
dc.type.coarhttp://purl.org/coar/resource_type/c_6501spa
dc.type.driverinfo:eu-repo/semantics/articlespa
dc.type.versioninfo:eu-repo/semantics/publishedVersionspa
dc.identifier.doi10.19053/01203053.v36.n63.2017.5312spa
dc.relation.referencesAkaike, H. (1974). A New Look at the Statistical Model Identification. IEEE: Trans. Auto.Control, 19, 719-723.spa
dc.relation.referencesArias, F. (2006). El proyecto de investigación. Introducción a la metodología científica (5 ed.). Caracas: Episteme.spa
dc.relation.referencesBaillie, R. (2006). Modelling Volatility, Handbook of Econometrics (Vol. 1). In E. T. a. Patterson (Ed.) New York: Palgrave Macmillanspa
dc.relation.referencesBanco Central de Venezuela. (2016). Banco Central de Venezuela. Recuperado de http://www.bcv.org.ve/spa
dc.relation.referencesBernanke, B. & Frank, R. (2007). Principios de economía (3 ed.). Mdrid: McGraw Hill.spa
dc.relation.referencesBerndt, E., Hall, B., Hall, R. & Hausman, J. (1974). Estimation lnference in Nonlinear Structural Models. Annals of the Economic and Social Measurement, 4, 653-665.spa
dc.relation.referencesBollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedastic. Journal of Econometrics, (31), 307-327.spa
dc.relation.referencesBollerslev, T. & Wooldrige, J. (1992). Quasi-maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances. Econometric Reviews, 11(2), 143-172.spa
dc.relation.referencesBreusch, T. & Pagan, A. (1978). A Simple Test for Heterocedasticity and Random Coefficient Variance. Econometrica, 46, 1287-1294.spa
dc.relation.referencesBrock, W., Dechert, W., Scheinkman J. & LeBaron, B. (1996). A Test for Independence Based on the Borrelation Dimension. Econometric Reviews, 3(15), 197-235.spa
dc.relation.referencesCampbell, A. (1987). Stock Returns and Term Structure. Journal of Financial Economics, 18, 373-399.spa
dc.relation.referencesDing, Z., Granger, C. & Engle, R. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance, 83-106.spa
dc.relation.referencesDornbusch, R. (1976). Expectations and Exchange Rate Dynamics. The Journal of Political Economy, 84, 1161-1176.spa
dc.relation.referencesDornbusch, R., Fischer, S. & Startz, R. (2009). Macroeconomía (10.ª ed.). México, D.F.: McGraw Hill.spa
dc.relation.referencesEcoanalítica. (2014, dic.). Entorno y política cambiaria. Caracas. Recuperado de http:// ecoanalitica.com/?wpfb_dl=179spa
dc.relation.referencesEngle, R. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007.spa
dc.relation.referencesEngle, R. & Bollerslev, T. (1986). Modelling the Persistence of Conditional Variance. Econometric Reviews, 5, 1-50.spa
dc.relation.referencesFama, M. (1963). Risk Returm and Equilibrium: Empirical Test. Jorunal of Financial Economics, 71, 607-636.spa
dc.relation.referencesFiglewski, S. (1997). Forecasting Volatility. Financial Markets, Institutions and Instruments, 6(1), 2-87.spa
dc.relation.referencesGlosten, L., Jagannathan, R. & Runkle, D. (1993). Relationships between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. Northwestern University: Mimeo.spa
dc.relation.referencesGodfrey, L. (1978). Testing Against General Autoregressive and Moving Average Models when the Regressors include Lagged Dependent Variables. Econometrica, 46, 1294-1302.spa
dc.relation.referencesHansen, B. (1992). Tests for Parameter Instability in Regressions with I(1) Processes. Journal of Business and Economic Statistics, 10, 321-336.spa
dc.relation.referencesHansen, P. & Lunde, A. . (2005). A forecast comparison of volatility models: does anything beat a GARCH (1,1)? Journal of Applied Econometrics, 20, 873-889.spa
dc.relation.referencesHarvey, A. (1981). The Econometric Analysis of Time Series. Oxford: Phillip Alan.spa
dc.relation.referencesHentschel, L. (1995). All in the Family Nesting Symmetric and Asymmetric GARCH Models. Journal of Financial Economics, 39, 71-104.spa
dc.relation.referencesHsieh, D. (1995). Nonlinear Dynamics in Financial Markets Evidence and Implications. Duke: Institute for Quantitative Research in Finance.spa
dc.relation.referencesMandelbrot, B. (1963). The Variation of Certain Speculative Prices. Journal of Business, 36, 394-419.spa
dc.relation.referencesMárquez, M. (2002). Modelo setar aplicado a la volatilidad de la rentabilidad de las acciones: algoritmos para su identificación. Tesis de Maestría en Estadística. Universitat Politècnica de Catalunya, Barcelona.spa
dc.relation.referencesMcLeod, A. & Li, W. (1983). Diagnostic Checking ARMA Time Series Models Using Squared Residual Autocorrelations. Journal of Time Series Analysis, 4, 269-273.spa
dc.relation.referencesMilhoj, A. (1987). A Multiplicative Parametrization of ARCH Models. Research Report 101. Copenhagen: Institute of Statistics, University of Copenhagen.spa
dc.relation.referencesNelson, D. B & Cao, C. Q. (1992). Inequality Constraints in the Univariate GARCH Model. Journal of Business & Economic Statistics, 10, 229-235.spa
dc.relation.referencesNelson, D. B. (1991). Conditional Heterocedasticity in Asset Returns: A New Approach. Econometrica, 59, 347-370.spa
dc.relation.referencesNyblom, J. (1989). Testing for the Constancy of Parameters Over Time. Journal of the American Statistical Association, 84(405), 223-230.spa
dc.relation.referencesPoon, S. & Granger, C. (2003). Forecasting Volatility in Financial Markets: A Review. Journal of Economic Literature, 41, 478-539spa
dc.relation.referencesPoterba, J. & Summers, L. (1986). The Persistence of Volatility and Stock Market Fluctuations. American Economic Review, 76, 1142-1151.spa
dc.relation.referencesRepública Bolivariana (2014, 20 de feb.). Decreto con Rango Fuerza y Valor de Ley del Régimen Cambiario y sus Ílicitos. Gaceta Oficial de la República Bolivariana, (6.126). Recuperado de www.tsj.gob.ve/gaceta-oficialspa
dc.relation.referencesSamuelson, P. & Nordhaus, W. (2010). Economía con aplicaciones a Latinoamérica (19 ed.). México D.F.: McGraw Hill.spa
dc.relation.referencesSánchez, A. & Reyes, M. (2006). Regularidades probabilísticas de las series financieras y la familia de modelos GARCH. Ciencia Ergo Sum, 13(2), 149-156.spa
dc.relation.referencesSchwarz, G. (1978). Estimating the Dimension of a Model. Annals of Statistics, 6, 461-464spa
dc.relation.referencesShibata, R. (2002). Information Criteria for Statistical Model Selection. Electron. Comm. Jpn. Pt. III, 85, 32–38.spa
dc.relation.referencesTaylor, S. (1986). Modelling Financial Time Series. New York: John Wileyspa
dc.relation.referencesThe Comprehensive R Archive Network –CRAN-. (2016, 20 de jul.). The R Project for Statistical Computing. Retrieved from http://cran.r-project.org/manuals.htmlspa
dc.relation.referencesTsay, R. (1986). Nonlinearity Test for Time Series. Biometrika, 76, 461-466.spa
dc.relation.referencesZakoian, J. (1990). Threshold Heteroskedastic Model. Paris: INSEE Mimeo.spa
dc.rights.creativecommonsAtribución-NoComercial 4.0 Internacional (CC BY-NC 4.0)spa
dc.relation.ispartofjournalRevista Apuntes del CENES;Vol. 36, núm. 63(2017)spa
dc.type.contentTextspa
dc.type.redcolhttps://purl.org/redcol/resource_type/ARTspa
dc.type.coarversionhttp://purl.org/coar/version/c_970fb48d4fbd8a85spa
dc.rights.coarhttp://purl.org/coar/access_right/c_abf2spa


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record

Copyright (c) 2017 Apuntes del CENES
Except where otherwise noted, this item's license is described as Copyright (c) 2017 Apuntes del CENES