Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/286180 
Title (translated): 
Modeling and comovements of the Colombian exchange rate, 2011-2017
Year of Publication: 
2019
Citation: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 28 [Year:] 2019 [Pages:] 301-341
Publisher: 
Universidad Pablo de Olavide, Sevilla
Abstract (Translated): 
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.
Subjects: 
Macroeconomic fundamentals
forecast models
exchange rate
correlation
JEL: 
E6
C51
F31
C30
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

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