ARIMAX-EGARCH quantitative model for prediction of the Colombian exchange rate (COP/USD) [Modelo cuantitativo ARIMAX- EGARCH para la predicción de la tasa de cambio colombiana (COP/USD)]

COP/USD exchange rate is a very important variable for financial planning of Colombian companies expose to exchange rate risk. Therefore, the ability to generate forecasts and have a tool for decision making becomes fundamental. The research aims at the construction of an econometric model for the r...

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Fecha de publicación:: 2018

Institución:: Universidad de Medellín

Repositorio:: Repositorio UDEM

Idioma:: spa

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repository_id_str
dc.title.spa.fl_str_mv	ARIMAX-EGARCH quantitative model for prediction of the Colombian exchange rate (COP/USD) [Modelo cuantitativo ARIMAX- EGARCH para la predicción de la tasa de cambio colombiana (COP/USD)]
title	ARIMAX-EGARCH quantitative model for prediction of the Colombian exchange rate (COP/USD) [Modelo cuantitativo ARIMAX- EGARCH para la predicción de la tasa de cambio colombiana (COP/USD)]
spellingShingle	ARIMAX-EGARCH quantitative model for prediction of the Colombian exchange rate (COP/USD) [Modelo cuantitativo ARIMAX- EGARCH para la predicción de la tasa de cambio colombiana (COP/USD)] ARIMAX; EGARCH; Exchange Rate
title_short	ARIMAX-EGARCH quantitative model for prediction of the Colombian exchange rate (COP/USD) [Modelo cuantitativo ARIMAX- EGARCH para la predicción de la tasa de cambio colombiana (COP/USD)]
title_full	ARIMAX-EGARCH quantitative model for prediction of the Colombian exchange rate (COP/USD) [Modelo cuantitativo ARIMAX- EGARCH para la predicción de la tasa de cambio colombiana (COP/USD)]
title_fullStr	ARIMAX-EGARCH quantitative model for prediction of the Colombian exchange rate (COP/USD) [Modelo cuantitativo ARIMAX- EGARCH para la predicción de la tasa de cambio colombiana (COP/USD)]
title_full_unstemmed	ARIMAX-EGARCH quantitative model for prediction of the Colombian exchange rate (COP/USD) [Modelo cuantitativo ARIMAX- EGARCH para la predicción de la tasa de cambio colombiana (COP/USD)]
title_sort	ARIMAX-EGARCH quantitative model for prediction of the Colombian exchange rate (COP/USD) [Modelo cuantitativo ARIMAX- EGARCH para la predicción de la tasa de cambio colombiana (COP/USD)]
dc.contributor.affiliation.spa.fl_str_mv	Trader Deuda Pública Colombia, Facultad de Ingenierías, Universidad de Medellín. Estudiante Maestría en Finanzas, Colombia; Universidad Nacional, Estadística de la universidad Nacional, Colombia; Financiera e investigadora del Grupo de Investigaciones en Finanzas -GINIF, Universidad de Medellín, Colombia
dc.subject.keyword.eng.fl_str_mv	ARIMAX; EGARCH; Exchange Rate
topic	ARIMAX; EGARCH; Exchange Rate
description	COP/USD exchange rate is a very important variable for financial planning of Colombian companies expose to exchange rate risk. Therefore, the ability to generate forecasts and have a tool for decision making becomes fundamental. The research aims at the construction of an econometric model for the realization of the daily forecast of the exchange rate. The process was modeled by an ARIMAX - EGARCH model. © 2018.
publishDate	2018
dc.date.accessioned.none.fl_str_mv	2018-04-13T16:31:57Z
dc.date.available.none.fl_str_mv	2018-04-13T16:31:57Z
dc.date.created.none.fl_str_mv	2018
dc.type.eng.fl_str_mv	Article
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dc.type.driver.none.fl_str_mv	info:eu-repo/semantics/article
dc.identifier.issn.none.fl_str_mv	7981015
dc.identifier.uri.none.fl_str_mv	http://hdl.handle.net/11407/4534
identifier_str_mv	7981015
url	http://hdl.handle.net/11407/4534
dc.language.iso.none.fl_str_mv	spa
language	spa
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dc.relation.ispartofes.spa.fl_str_mv	Espacios
dc.relation.references.spa.fl_str_mv	Alonso, J.C., Arcos, M.A., Cuatro hechos estilizados de las series de rendimientos: una ilustración para Colombia (2006) Estudios Gerenciales, pp. 103-124; Apergis, N., Can gold prices forecast the Australian dollar movements? (2014) International Review of Economics and Finance, 29, pp. 75-82. , https://doi.org/10.1016/j.iref.2013.04.004; Apergis, N., Zestos, G.K., Shaltayev, D.S., Do market fundamentals determine the Dollar-Euro exchange rate? (2012) Journal of Policy Modeling, 34 (1), pp. 1-15. , https://doi.org/10.1016/j.jpolmod.2011.10.003; Bollerslev, T., Generalized Autoregresive Conditional Heteroskedasticity (1986) Journal of Econometrics, 31 (3), pp. 307-327. , https://doi.org/10.1109/TNN.2007.902962, (University of C. at S. D); Box, G.E.P., Jenkins, J.M., (1976) Time series analysis: Forecasting and control, , (Holden-Day, San Francisco, CA); Caglayan, M., Demir, F., Firm Productivity, Exchange Rate Movements, Sources of Finance, and Export Orientation (2014) World Development, 54, pp. 204-219. , https://doi.org/10.1016/j.worlddev.2013.08.012; Calvo, G.A., Reinhart, C.M., (1999) Capital Flow Reversals, the Exchange Rate Debate, and Dollarization More, pp. 13-15. , Finance & Development, (September); Cárdenas, D., Ojeda, J., (2010) "Reglas de Taylor y previsibilidad fuera de muestra de la tasa de cambio en Latinoamérica", , http://www.banrep.org/docum/ftp/borra619.pdf, Borradores de Economía 619, Banco de la República de Colombia; Corrêa, J.M., Neto, A.C., Teixeira Júnior, L.A., Franco, E.M.C., Faria, A.E., Time series forecasting with the WARIMAX-GARCH method (2016) Neurocomputing, 216, pp. 805-815. , https://doi.org/10.1016/j.neucom.2016.08.046; Due, D., Iglesias-Fernández, C., Llorente-Heras, R., Determinantes de la tasa de cambio en Colombia: un enfoque de microestructura de mercados (2015) Ensayos Sobre Política Económica, 33 (74), pp. 207-219. , https://doi.org/10.1016/j.espe.2015.09.001; Engle, R., Riesgo y Volatilidad: Modelos Econométricos y Práctica Financiera (2004) Revista Austriana de Economía, pp. 221-252; Engle, R.F., Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982) Econometrica, 50 (4), pp. 987-1007. , https://doi.org/10.2307/1912773; Granger, C.W.J., Investigating Causal Relations by Econometric Models and Crossspectral Methods (1969) Econometrica, 37 (3), pp. 424-438. , https://doi.org/10.2307/1912791; Nelson, D.B., Conditional Heteroskedasticity in Asset Returns: A New Approach (1991) Econometrica, 59 (2), pp. 347-370. , https://doi.org/10.2307/2938260; Newsham, G.R., Birt, B.J., Building-level occupancy data to improve ARIMA-based electricity use forecasts (2010) Proceedings of the 2nd ACM Workshop on Embedded Sensing Systems for Energy-Efficiency in Building-BuildSys, 10, p. 13. , https://doi.org/10.1145/1878431.1878435, New York, New York, USA: ACM Press; Peramunetilleke, D., Wong, R.K., Currency exchange rate forecasting from news headlines (2002) Australian Computer Science Communications, 24 (2), pp. 131-139. , https://doi.org/10.1145/563932.563921; Romero, M.C., Ramírez, E., Lozano Reyes, F., La Tasa de Cambio: ¿Es Gerenciable? (2007) Estudios Gerenciales, 23 (104), pp. 131-156; Toro, J., Garavito, A., López, D.C., Montes, E., El choque petrolero y sus implicaciones en la economía colombiana (2015) Borradores de Economía, p. 65; Velásquez Henao, J.D., Gonzáles Rivera, L.M., (2006) Modelado del índice de tipo de cambio real colombiano usando redes neuronales artificiales, , http://www.scielo.org.co/pdf/cadm/v19n32/v19n32a13.pdf
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dc.publisher.spa.fl_str_mv	Revista Espacios
dc.publisher.faculty.spa.fl_str_mv	Facultad de Ingenierías
dc.source.spa.fl_str_mv	Scopus
institution	Universidad de Medellín
repository.name.fl_str_mv	Repositorio Institucional Universidad de Medellin
repository.mail.fl_str_mv	repositorio@udem.edu.co
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spelling	2018-04-13T16:31:57Z2018-04-13T16:31:57Z20187981015http://hdl.handle.net/11407/4534COP/USD exchange rate is a very important variable for financial planning of Colombian companies expose to exchange rate risk. Therefore, the ability to generate forecasts and have a tool for decision making becomes fundamental. The research aims at the construction of an econometric model for the realization of the daily forecast of the exchange rate. The process was modeled by an ARIMAX - EGARCH model. © 2018.spaRevista EspaciosFacultad de Ingenieríashttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85042424332&partnerID=40&md5=7cb4c14cc0682a48f37d5a41aad457f8EspaciosAlonso, J.C., Arcos, M.A., Cuatro hechos estilizados de las series de rendimientos: una ilustración para Colombia (2006) Estudios Gerenciales, pp. 103-124; Apergis, N., Can gold prices forecast the Australian dollar movements? (2014) International Review of Economics and Finance, 29, pp. 75-82. , https://doi.org/10.1016/j.iref.2013.04.004; Apergis, N., Zestos, G.K., Shaltayev, D.S., Do market fundamentals determine the Dollar-Euro exchange rate? (2012) Journal of Policy Modeling, 34 (1), pp. 1-15. , https://doi.org/10.1016/j.jpolmod.2011.10.003; Bollerslev, T., Generalized Autoregresive Conditional Heteroskedasticity (1986) Journal of Econometrics, 31 (3), pp. 307-327. , https://doi.org/10.1109/TNN.2007.902962, (University of C. at S. D); Box, G.E.P., Jenkins, J.M., (1976) Time series analysis: Forecasting and control, , (Holden-Day, San Francisco, CA); Caglayan, M., Demir, F., Firm Productivity, Exchange Rate Movements, Sources of Finance, and Export Orientation (2014) World Development, 54, pp. 204-219. , https://doi.org/10.1016/j.worlddev.2013.08.012; Calvo, G.A., Reinhart, C.M., (1999) Capital Flow Reversals, the Exchange Rate Debate, and Dollarization More, pp. 13-15. , Finance & Development, (September); Cárdenas, D., Ojeda, J., (2010) "Reglas de Taylor y previsibilidad fuera de muestra de la tasa de cambio en Latinoamérica", , http://www.banrep.org/docum/ftp/borra619.pdf, Borradores de Economía 619, Banco de la República de Colombia; Corrêa, J.M., Neto, A.C., Teixeira Júnior, L.A., Franco, E.M.C., Faria, A.E., Time series forecasting with the WARIMAX-GARCH method (2016) Neurocomputing, 216, pp. 805-815. , https://doi.org/10.1016/j.neucom.2016.08.046; Due, D., Iglesias-Fernández, C., Llorente-Heras, R., Determinantes de la tasa de cambio en Colombia: un enfoque de microestructura de mercados (2015) Ensayos Sobre Política Económica, 33 (74), pp. 207-219. , https://doi.org/10.1016/j.espe.2015.09.001; Engle, R., Riesgo y Volatilidad: Modelos Econométricos y Práctica Financiera (2004) Revista Austriana de Economía, pp. 221-252; Engle, R.F., Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982) Econometrica, 50 (4), pp. 987-1007. , https://doi.org/10.2307/1912773; Granger, C.W.J., Investigating Causal Relations by Econometric Models and Crossspectral Methods (1969) Econometrica, 37 (3), pp. 424-438. , https://doi.org/10.2307/1912791; Nelson, D.B., Conditional Heteroskedasticity in Asset Returns: A New Approach (1991) Econometrica, 59 (2), pp. 347-370. , https://doi.org/10.2307/2938260; Newsham, G.R., Birt, B.J., Building-level occupancy data to improve ARIMA-based electricity use forecasts (2010) Proceedings of the 2nd ACM Workshop on Embedded Sensing Systems for Energy-Efficiency in Building-BuildSys, 10, p. 13. , https://doi.org/10.1145/1878431.1878435, New York, New York, USA: ACM Press; Peramunetilleke, D., Wong, R.K., Currency exchange rate forecasting from news headlines (2002) Australian Computer Science Communications, 24 (2), pp. 131-139. , https://doi.org/10.1145/563932.563921; Romero, M.C., Ramírez, E., Lozano Reyes, F., La Tasa de Cambio: ¿Es Gerenciable? (2007) Estudios Gerenciales, 23 (104), pp. 131-156; Toro, J., Garavito, A., López, D.C., Montes, E., El choque petrolero y sus implicaciones en la economía colombiana (2015) Borradores de Economía, p. 65; Velásquez Henao, J.D., Gonzáles Rivera, L.M., (2006) Modelado del índice de tipo de cambio real colombiano usando redes neuronales artificiales, , http://www.scielo.org.co/pdf/cadm/v19n32/v19n32a13.pdfScopusARIMAX-EGARCH quantitative model for prediction of the Colombian exchange rate (COP/USD) [Modelo cuantitativo ARIMAX- EGARCH para la predicción de la tasa de cambio colombiana (COP/USD)]Articleinfo:eu-repo/semantics/articlehttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Trader Deuda Pública Colombia, Facultad de Ingenierías, Universidad de Medellín. Estudiante Maestría en Finanzas, Colombia; Universidad Nacional, Estadística de la universidad Nacional, Colombia; Financiera e investigadora del Grupo de Investigaciones en Finanzas -GINIF, Universidad de Medellín, ColombiaMartínez Orozco M.A., Guzmán Aguilar D.S., Pérez Ramírez F.O., Marín Rodríguez N.J.Martínez Orozco, M.A., Trader Deuda Pública Colombia, Facultad de Ingenierías, Universidad de Medellín. Estudiante Maestría en Finanzas, Colombia; Guzmán Aguilar, D.S., Universidad Nacional, Estadística de la universidad Nacional, Colombia, Financiera e investigadora del Grupo de Investigaciones en Finanzas -GINIF, Universidad de Medellín, Colombia; Pérez Ramírez, F.O., Financiera e investigadora del Grupo de Investigaciones en Finanzas -GINIF, Universidad de Medellín, Colombia; Marín Rodríguez, N.J., Financiera e investigadora del Grupo de Investigaciones en Finanzas -GINIF, Universidad de Medellín, ColombiaARIMAX; EGARCH; Exchange RateCOP/USD exchange rate is a very important variable for financial planning of Colombian companies expose to exchange rate risk. Therefore, the ability to generate forecasts and have a tool for decision making becomes fundamental. The research aims at the construction of an econometric model for the realization of the daily forecast of the exchange rate. The process was modeled by an ARIMAX - EGARCH model. © 2018.http://purl.org/coar/access_right/c_16ec11407/4534oai:repository.udem.edu.co:11407/45342020-05-27 17:52:15.103Repositorio Institucional Universidad de Medellinrepositorio@udem.edu.co

ARIMAX-EGARCH quantitative model for prediction of the Colombian exchange rate (COP/USD) [Modelo cuantitativo ARIMAX- EGARCH para la predicción de la tasa de cambio colombiana (COP/USD)]

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