Conditional distribution of Colombian exchange tax returns: an empirical task from the multivariate GARCH models

• Published in: Revista de economia del Rosario Vol. 10; no. 2; pp. 127 - 152
• Main Authors: Gallón Gómez, Santiago, Gómez Portilla, Karoll
• Format: Journal Article
• Language: Spanish
• Published: 01-12-2007
• Subjects: Capital returns; Correlation; Data analysis; Econometrics; Exchange rates; GARCH models; Risk; Taxation; Value; Volatility
• ISSN: 0123-5362

ABSTRACT IN SPANISH: Un conjunto de modelos GARCH multivariados son estimados y su validez empírica comparada a partir del cálculo de la medida VaR, para los retornos diarios de la tasa de cambio nominal del peso colombiano con respecto al dólar americano, euro, libra esterlina y yen japonés en el periodo 1999-2005. La comparación de las estimaciones para la matriz de covarianza condicional y los resultados obtenidos para la proporción de fallo y el contraste de cuantil dinámico de Engle y Manganelli (2004) presentan evidencia a favor del modelo de correlación condicional constante. // ABSTRACT IN ENGLISH: 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 comparisopn 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.