Dinámica no lineal estocástica del mercado cambiario mexicano

Innovaciones de Negocios

卷:8

Martha del Pilar Rodriguez Garcia¹  Klender Aimer Cortez Alejandro¹  Adrian Wong Boren¹ 

[1] Universidad Autonoma de Nuevo Leon;

关键词: GARCH;    muestreo autodocimante;    prueba BDS;    series temporales;    tipo de cambio;    volatilidad;   

DOI  :  

来源: DOAJ

【 摘 要 】

This paper presents an analysis of the exchange rate volatility in the Mexican market during the flotation regime adopted since December 1994. The time series under study are the bid and ask interbank daily exchange rates from 1995 to 2010. As a startingpoint we begin analyzing the temporary structure of the variance, and later we look for a time serie model that best fits the data. In order to detect the non-linear dynamic of the time series,we use the BDS test. The results show evidence in favor of the caractertización of the exchange change pesos/dollar fluctuations with non-linear stochastic models, particularly the GARCH model. In order to validate the model we propose to use the bootstrapping technique together with the BDS test.

【 授权许可】

Unknown