Modelación de la Volatilidad del Tipo de Cambio del Dólar en el Perú: Aplicación de los Modelos GARCH y EGARCH
Journal Title: REVISTA DE ANÁLISIS ECONÓMICO Y FINANCIERO - Year 2021, Vol 4, Issue 2
Abstract
Policymakers need accurate forecasts about the future values of exchange rates. This is due to the fact that exchange rate volatility is a useful measure of uncertainty about a country's economic environment. The objective of this study was to determine the volatile behavior of the daily dollar exchange rate in Peru in the period from January 4, 2014 to April 30, 2021. The document reveals that the exchange rate series exhibits empirical regularities such as volatility grouped, non-stationarity, non-normality and serial correlation that justify the application of the ARCH methodology. It was determined that there is a symmetric volatile behavior that is explained by the GARCH(1,1) model. This suggests that the behavior of the exchange rate is generally influenced by information about its previous behavior. This implies that the volatility of the exchange rate of the previous day can affect its current volatility. The main policy implication of these results is that since exchange rate volatility (exchange rate risk) can increase transaction costs and reduce profits for international trade, knowledge of the estimate and forecast of the Exchange rate volatility is important for pricing and risk management.
Authors and Affiliations
Victor Chung Alva
Keywords
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- EP ID EP700777
- DOI https://doi.org/10.24265/raef.2021.v4n2.40
- Views 200
- Downloads 0
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