Distribucion condicional de los retornos de la tasa de cambio colombiana: un ejercicio empirico a partir de modelos GARCH multivariados

• Published in: Revista de economia del Rosario Vol. 10; no. 2; p. 127
• Main Authors: Gómez, Santiago Gallón, Portilla, Karoll Gómez
• Format: Journal Article
• Language: Spanish
• Published: Bogotá Universidad del Rosario 01-12-2007; COLEGIO MAYOR NUESTRA SENORA DEL ROSARIO
• Subjects: American dollar; Capital assets; Correlation analysis; Foreign exchange rates; Multivariate analysis; Rates of return; Stochastic models; Studies; Variables; Colombia
• ISSN: 0123-5362; 2145-454X

A set of multivariate GARCH models is estimated and its empirical validity is compared from the calculation of the Value at Risk. Data used are the daily returns of the nominal exchange rate of the Colombian peso vis-à-vis the American dollar, euro, sterling and Japanese yen for the period 1999-2005. The comparison of the estimations for the conditional covariance matrix and the results obtained for the proportion of failure and the dynamic quantile test of Engle and Manganelli (2004), show evidence in favor of the model of Conditional Constant Correlation. [PUBLICATION ABSTRACT]