Influencia de los fundamentales macroeconómicos sobre la volatilidad de los forwards de la tasa de cambio en Colombia: un acercamiento con el modelo GARCH-MIDAS

Ilustraciones y tablas

Autores:: Cuervo Ortegón, Daniel Felipe

Tipo de recurso:

Fecha de publicación:: 2021

Institución:: Universidad Nacional de Colombia

Repositorio:: Universidad Nacional de Colombia

Idioma:: spa

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repository_id_str
dc.title.spa.fl_str_mv	Influencia de los fundamentales macroeconómicos sobre la volatilidad de los forwards de la tasa de cambio en Colombia: un acercamiento con el modelo GARCH-MIDAS
dc.title.translated.eng.fl_str_mv	Influence of macroeconomic fundamentals on the volatility of currency forwards in Colombia: an approach with the GARCH-MIDAS model
title	Influencia de los fundamentales macroeconómicos sobre la volatilidad de los forwards de la tasa de cambio en Colombia: un acercamiento con el modelo GARCH-MIDAS
spellingShingle	Influencia de los fundamentales macroeconómicos sobre la volatilidad de los forwards de la tasa de cambio en Colombia: un acercamiento con el modelo GARCH-MIDAS 330 - Economía Macroeconomía Pronóstico de la economía Macroeconomics Economic forecasting Tipo de cambio Exchange rate Forwards de moneda Fundamentales macroeconómicos Volatilidad Modelo GARCH-MIDAS GARCH-MIDAS model Macroeconomic fundamentals Volatility Currency forwards
title_short	Influencia de los fundamentales macroeconómicos sobre la volatilidad de los forwards de la tasa de cambio en Colombia: un acercamiento con el modelo GARCH-MIDAS
title_full	Influencia de los fundamentales macroeconómicos sobre la volatilidad de los forwards de la tasa de cambio en Colombia: un acercamiento con el modelo GARCH-MIDAS
title_fullStr	Influencia de los fundamentales macroeconómicos sobre la volatilidad de los forwards de la tasa de cambio en Colombia: un acercamiento con el modelo GARCH-MIDAS
title_full_unstemmed	Influencia de los fundamentales macroeconómicos sobre la volatilidad de los forwards de la tasa de cambio en Colombia: un acercamiento con el modelo GARCH-MIDAS
title_sort	Influencia de los fundamentales macroeconómicos sobre la volatilidad de los forwards de la tasa de cambio en Colombia: un acercamiento con el modelo GARCH-MIDAS
dc.creator.fl_str_mv	Cuervo Ortegón, Daniel Felipe
dc.contributor.advisor.none.fl_str_mv	Gómez Portilla, Karoll
dc.contributor.author.none.fl_str_mv	Cuervo Ortegón, Daniel Felipe
dc.subject.ddc.spa.fl_str_mv	330 - Economía
topic	330 - Economía Macroeconomía Pronóstico de la economía Macroeconomics Economic forecasting Tipo de cambio Exchange rate Forwards de moneda Fundamentales macroeconómicos Volatilidad Modelo GARCH-MIDAS GARCH-MIDAS model Macroeconomic fundamentals Volatility Currency forwards
dc.subject.lemb.spa.fl_str_mv	Macroeconomía Pronóstico de la economía
dc.subject.lemb.eng.fl_str_mv	Macroeconomics Economic forecasting
dc.subject.ocde.spa.fl_str_mv	Tipo de cambio
dc.subject.ocde.eng.fl_str_mv	Exchange rate
dc.subject.proposal.spa.fl_str_mv	Forwards de moneda Fundamentales macroeconómicos Volatilidad Modelo GARCH-MIDAS
dc.subject.proposal.eng.fl_str_mv	GARCH-MIDAS model Macroeconomic fundamentals Volatility Currency forwards
description	Ilustraciones y tablas
publishDate	2021
dc.date.accessioned.none.fl_str_mv	2021-09-10T19:44:10Z
dc.date.available.none.fl_str_mv	2021-09-10T19:44:10Z
dc.date.issued.none.fl_str_mv	2021-09-09
dc.type.spa.fl_str_mv	Trabajo de grado - Maestría
dc.type.driver.spa.fl_str_mv	info:eu-repo/semantics/masterThesis
dc.type.version.spa.fl_str_mv	info:eu-repo/semantics/acceptedVersion
dc.type.content.spa.fl_str_mv	Text
dc.type.redcol.spa.fl_str_mv	http://purl.org/redcol/resource_type/TM
status_str	acceptedVersion
dc.identifier.uri.none.fl_str_mv	https://repositorio.unal.edu.co/handle/unal/80161
dc.identifier.instname.spa.fl_str_mv	Universidad Nacional de Colombia
dc.identifier.reponame.spa.fl_str_mv	Repositorio Institucional Universidad Nacional de Colombia
dc.identifier.repourl.spa.fl_str_mv	https://repositorio.unal.edu.co/
url	https://repositorio.unal.edu.co/handle/unal/80161 https://repositorio.unal.edu.co/
identifier_str_mv	Universidad Nacional de Colombia Repositorio Institucional Universidad Nacional de Colombia
dc.language.iso.spa.fl_str_mv	spa
language	spa
dc.relation.references.spa.fl_str_mv	Admati, A. R., & Pfleiderer, P. (1988). A theory of intraday patterns: Volume and price variability. The review of financial studies, 1(1), 3-40. Adrian, T., & Rosenberg, J. (2008). Stock returns and volatility: Pricing the short‐run and long‐run components of market risk. The journal of Finance, 63(6), 2997-3030. Andersen, T. G., & Bollerslev, T. (1997). Intraday periodicity and volatility persistence in financial markets. Journal of empirical finance, 4(2-3), 115-158. Andersen, T. G., & Bollerslev, T. (1998). Deutsche mark–dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies. The Journal of Finance, 53(1), 219-265. Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2003). Micro effects of macro announcements: Real-time price discovery in foreign exchange. American Economic Review, 93(1), 38-62. Angelidis, T., Benos, A., & Degiannakis, S. (2004). The use of GARCH models in VaR estimation. Statistical methodology, 1(1-2), 105-128. Amihud, Y., & Mendelson, H. (1980). Dealership market: Market-making with inventory. Journal of financial economics, 8(1), 31-53. Asgharian, H., Hou, A. J., & Javed, F. (2013). The importance of the macroeconomic variables in forecasting stock return variance: A GARCH‐MIDAS approach. Journal of Forecasting, 32(7), 600-612. Batten, J. A., Ciner, C., & Lucey, B. M. (2008). The Macroeconomic Determinants of Volatility in Precious Metals Markets. SSRN. Bayoumi, T., & Eichengreen, B. (1998). Exchange rate volatility and intervention: implications of the theory of optimum currency areas. Journal of International Economics, 45(2), 191-209. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of political economy, 81(3), 637-654. Bejarano-Salcedo, V., Moreno-Jimenez, W. I., & Julio-Román, J. M. (2020). La Magnitud y Duración del Efecto de la Intervención por Subastas sobre el Mercado Cambiario: El caso Colombiano (No. 1142). Banco de la República de Colombia. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327. Bollerslev, T., Engle, R. F., & Nelson, D. B. (1994). ARCH models. Handbook of econometrics, 4, 2959-3038. Bollerslev, T. (2008). Glossary to arch (garch). CREATES Research paper, 49, 1-46. Box, G. E. P., & Jenkins, G. M. (1976). Time series analysis: forecasting and control. Cai, J., Cheung, Y. L., & Wong, M. C. (2001). What moves the gold market?. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 21(3), 257-278. Canales Kriljenko, J. I., & Habermeier, K. F. (2004). Structural Factors Affecting Exchange Rate Volatility; A Cross-Section Study (No. 2004/147). International Monetary Fund. Calderon, C. (2004). Trade openness and real exchange rate volatility: panel data evidence. Documentos de Trabajo (Banco Central de Chile), (294), 1. Caporale, G. M., Amor, T. H., & Rault, C. (2009). Sources of real exchange rate volatility and international financial integration: A dynamic GMM panel data approach. Cheng, A. W. W., & Yip, I. W. H. (2017). China’s macroeconomic fundamentals on stock market volatility: Evidence from Shanghai and Hong Kong. Review of Pacific Basin Financial Markets and Policies, 20(02), 1750014. Conrad, C., Custovic, A., & Ghysels, E. (2018). Long-and short-term cryptocurrency volatility components: A GARCH-MIDAS analysis. Journal of Risk and Financial Management, 11(2), 23. Cohen, K. J., Maier, S. F., Schwartz, R. A., & Whitcomb, D. K. (1981). Transaction costs, order placement strategy, and existence of the bid-ask spread. Journal of political economy, 89(2), 287-305. Copeland, T. E., & Galai, D. (1983). Information effects on the bid‐ask spread. The Journal of Finance, 38(5), 1457-1469. Ding, Z., & Granger, C. W. (1996). Modeling volatility persistence of speculative returns: a new approach. Journal of econometrics, 73(1), 185-215. Devereux, M. B., & Lane, P. R. (2003). Understanding bilateral exchange rate volatility. Journal of International Economics, 60(1), 109-132. Dornbusch, R. (1976). Expectations and exchange rate dynamics. Journal of political Economy, 84(6), 1161-1176. Easley, D., & O'hara, M. (1987). Price, trade size, and information in securities markets. Journal of Financial economics, 19(1), 69-90. Easley, D., & O'Hara, M. (2003). Microstructure and asset pricing. Handbook of the Economics of Finance, 1, 1021-1051. Dominguez, K. M., & Frankel, J. A. (1993). Does foreign-exchange intervention matter? The portfolio effect. The American Economic Review, 83(5), 1356-1369. Dominguez, K. M. (2003). The market microstructure of central bank intervention. Journal of International economics, 59(1), 25-45. Dominguez, K. M. (2006). When do central bank interventions influence intra-daily and longer-term exchange rate movements?. Journal of International Money and Finance, 25(7), 1051-1071. Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the econometric society, 987-1007. Engle, R. F., & Lee, G. (1999). A long-run and short-run component model of stock return volatility. Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive WJ Granger, 475-497. Engle, R. (2004). Risk and volatility: Econometric models and financial practice. American economic review, 94(3), 405-420. Engle, R. F., & Rangel, J. G. (2008). The spline-GARCH model for low-frequency volatility and its global macroeconomic causes. The review of financial studies, 21(3), 1187-1222. Engle, R. F., Ghysels, E., & Sohn, B. (2013). Stock market volatility and macroeconomic fundamentals. Review of Economics and Statistics, 95(3), 776-797. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 383–417. Fuentes, M., Pincheira, P. M., Julio, J. M., Rincón, H., García-Verdú, S., Zerecero, M., ... & Moreno, R. (2014). The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru. Foster, F. D., & Viswanathan, S. (1996). Strategic trading when agents forecast the forecasts of others. The Journal of Finance, 51(4), 1437-1478. Garman, M. B. (1976). Market microstructure. Journal of financial Economics, 3(3), 257-275. Ghysels, E., Sinko, A., & Valkanov, R. (2007). MIDAS regressions: Further results and new directions. Econometric reviews, 26(1), 53-90. Girardin, E., & Joyeux, R. (2013). Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach. Economic Modelling, 34, 59-68. Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The journal of finance, 48(5), 1779-1801. Grydaki, M., & Fountas, S. (2009). Exchange rate volatility and output volatility: a theoretical approach. Review of International Economics, 17(3), 552-569. Han, L. M., & Ozocak, O. (2002). Risk–return relationships in foreign‐currency futures following macroeconomic announcements. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 22(8), 729-764. Hau, H. (2002). Real exchange rate volatility and economic openness: theory and evidence. Journal of money, Credit and Banking, 611-630. Ho, T. S., & Stoll, H. R. (1983). The dynamics of dealer markets under competition. The Journal of finance, 38(4), 1053-1074. Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica: Journal of the Econometric Society, 1315-1335. Lo, A. W., & MacKinlay, A. C. (1988). Stock market prices do not follow random walks: Evidence from a simple specification test. The review of financial studies, 1(1), 41-66. Meese, R. A., & Rogoff, K. (1983). Empirical exchange rate models of the seventies: Do they fit out of sample?. Journal of international economics, 14(1-2), 3-24. Mo, D., Gupta, R., Li, B., & Singh, T. (2018). The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets. Economic Modelling, 70, 543-560. Morana, C. (2009). On the macroeconomic causes of exchange rate volatility. International Journal of Forecasting, 25(2), 328-350. Mundell, R. A. (1961). A theory of optimum currency areas. The American economic review, 51(4), 657-665. Mussa, M. (1977). The exchange rate, the balance of payments and monetary and fiscal policy under a regime of controlled floating. In Flexible Exchange Rates and Stabilization Policy (pp. 97-116). Palgrave Macmillan, London. Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 347-370. Obstfeld, M., & Rogoff, K.S., (2003). Risk and exchange rates. In: Helpman, E., Sadka, E. (Eds.), Economic Policy in the International Economy: Essays in Honor of Assaf Razin. Cambridge University Press, Cambridge. Officer, R. R. (1973). The variability of the market factor of the New York Stock Exchange. The Journal of Business, 46(3), 434-453. O'hara, M., & Oldfield, G. S. (1986). The microeconomics of market making. Journal of Financial and Quantitative analysis, 361-376. Pan, Z., Wang, Y., Wu, C., & Yin, L. (2017). Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. Journal of Empirical Finance, 43, 130-142. Parra, D. (2014). Estimación de la volatilidad de la tasa de cambio peso dólar a través de un modelo de volatilidad estocástica. Universidad Nacional de Colombia. Patton, A. J. (2011). Volatility forecast comparison using imperfect volatility proxies. Journal of Econometrics, 160(1), 246-256. Prepic, A., & Unosson, M. (2014). A Comparison of GARCH-class Models and MIDAS Regression with Applications in Volatility Prediction and Value at Risk Estimation. Recuperado de: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226092 Rincón-Castro, H., Arango-Lozano, L., Ariza-Murillo, S., Bejarano-Salcedo, V., Cardozo-Ortiz, P., Gamboa-Estrada, F., ... & Zárate-Solano, H. (2020). Impacto de la intervención cambiaria y su duración. Revista Ensayos Sobre Política Económica; No. 98, noviembre 2020. Pág.: 1-123. Roache, S. K. (2010). What explains the rise in food price volatility?. IMF Working Papers, 1-29. Sakamoto, Y., Ishiguro, M., & Kitagawa, G. (1986). Akaike information criterion statistics. Dordrecht, The Netherlands: D. Reidel. Schwert, G. W. (1989). Why does stock market volatility change over time?. The journal of finance, 44(5), 1115-1153. Stoll, H. R. (1978). The supply of dealer services in securities markets. The Journal of Finance, 33(4), 1133-1151. Yin, W., & Li, J. (2014). Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach. Journal of International Money and Finance, 41, 46-64.
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dc.publisher.spa.fl_str_mv	Universidad Nacional de Colombia
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dc.publisher.faculty.spa.fl_str_mv	Facultad de Ciencias Económicas
dc.publisher.place.spa.fl_str_mv	Bogotá, Colombia
dc.publisher.branch.spa.fl_str_mv	Universidad Nacional de Colombia - Sede Bogotá
institution	Universidad Nacional de Colombia
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spelling	Reconocimiento 4.0 Internacionalhttp://creativecommons.org/licenses/by/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Gómez Portilla, Karoll7d00bb94aa1a311b5728decda6dfed59600Cuervo Ortegón, Daniel Felipe2e35d324af5c9360ee2f8c210af184122021-09-10T19:44:10Z2021-09-10T19:44:10Z2021-09-09https://repositorio.unal.edu.co/handle/unal/80161Universidad Nacional de ColombiaRepositorio Institucional Universidad Nacional de Colombiahttps://repositorio.unal.edu.co/Ilustraciones y tablasThis document assess the influence of macroeconomic fundamentals on the volatility of the COP/USD Forwards during the period 2004-2019. For this purpose, an autoregressive conditional variance model with mixed data sampling (GARCH-MIDAS) is estimated, which allows to jointly incorporate short-term daily movements and low-frequency macroeconomic variables. The results show that the macroeconomic fundamentals are significant in the long-term volatility of the Forwards and that including low-frequency macroeconomic variables improve the forecasting capacity of the model for short and medium-term horizons. (Texto tomado de la fuente)En este documento se examina la influencia de los fundamentales macroeconómicos en la volatilidad de los Forwards de tasa de cambio COP/USD durante el periodo 2004-2019. Para tal fin, se estima un modelo autorregresivo de varianza condicional con muestreo de datos mixtos (GARCH-MIDAS) el cual permite incorporar conjuntamente movimientos diarios de corto plazo y variables macroeconómicas de baja frecuencia. Los resultados muestran que los fundamentales macroeconómicos son significativos en la volatilidad de largo plazo de los Forwards y que incluir variables macroeconómicas de baja frecuencia mejoran la capacidad de pronóstico del modelo para horizontes de corto y mediano plazo. (Texto tomado de la fuente).MaestríaMagíster en Ciencias Económicas38 páginasapplication/pdfspaUniversidad Nacional de ColombiaBogotá - Ciencias Económicas - Maestría en Ciencias EconómicasEscuela de EconomíaFacultad de Ciencias EconómicasBogotá, ColombiaUniversidad Nacional de Colombia - Sede Bogotá330 - EconomíaMacroeconomíaPronóstico de la economíaMacroeconomicsEconomic forecastingTipo de cambioExchange rateForwards de monedaFundamentales macroeconómicosVolatilidadModelo GARCH-MIDASGARCH-MIDAS modelMacroeconomic fundamentalsVolatilityCurrency forwardsInfluencia de los fundamentales macroeconómicos sobre la volatilidad de los forwards de la tasa de cambio en Colombia: un acercamiento con el modelo GARCH-MIDASInfluence of macroeconomic fundamentals on the volatility of currency forwards in Colombia: an approach with the GARCH-MIDAS modelTrabajo de grado - Maestríainfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/acceptedVersionTexthttp://purl.org/redcol/resource_type/TMColombiaAdmati, A. R., & Pfleiderer, P. (1988). A theory of intraday patterns: Volume and price variability. The review of financial studies, 1(1), 3-40.Adrian, T., & Rosenberg, J. (2008). Stock returns and volatility: Pricing the short‐run and long‐run components of market risk. The journal of Finance, 63(6), 2997-3030.Andersen, T. G., & Bollerslev, T. (1997). Intraday periodicity and volatility persistence in financial markets. Journal of empirical finance, 4(2-3), 115-158.Andersen, T. G., & Bollerslev, T. (1998). Deutsche mark–dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies. The Journal of Finance, 53(1), 219-265.Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2003). Micro effects of macro announcements: Real-time price discovery in foreign exchange. American Economic Review, 93(1), 38-62.Angelidis, T., Benos, A., & Degiannakis, S. (2004). The use of GARCH models in VaR estimation. Statistical methodology, 1(1-2), 105-128.Amihud, Y., & Mendelson, H. (1980). Dealership market: Market-making with inventory. Journal of financial economics, 8(1), 31-53.Asgharian, H., Hou, A. J., & Javed, F. (2013). The importance of the macroeconomic variables in forecasting stock return variance: A GARCH‐MIDAS approach. Journal of Forecasting, 32(7), 600-612.Batten, J. A., Ciner, C., & Lucey, B. M. (2008). The Macroeconomic Determinants of Volatility in Precious Metals Markets. SSRN.Bayoumi, T., & Eichengreen, B. (1998). Exchange rate volatility and intervention: implications of the theory of optimum currency areas. Journal of International Economics, 45(2), 191-209.Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of political economy, 81(3), 637-654.Bejarano-Salcedo, V., Moreno-Jimenez, W. I., & Julio-Román, J. M. (2020). La Magnitud y Duración del Efecto de la Intervención por Subastas sobre el Mercado Cambiario: El caso Colombiano (No. 1142). Banco de la República de Colombia.Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.Bollerslev, T., Engle, R. F., & Nelson, D. B. (1994). ARCH models. Handbook of econometrics, 4, 2959-3038.Bollerslev, T. (2008). Glossary to arch (garch). CREATES Research paper, 49, 1-46.Box, G. E. P., & Jenkins, G. M. (1976). Time series analysis: forecasting and control.Cai, J., Cheung, Y. L., & Wong, M. C. (2001). What moves the gold market?. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 21(3), 257-278.Canales Kriljenko, J. I., & Habermeier, K. F. (2004). Structural Factors Affecting Exchange Rate Volatility; A Cross-Section Study (No. 2004/147). International Monetary Fund.Calderon, C. (2004). Trade openness and real exchange rate volatility: panel data evidence. Documentos de Trabajo (Banco Central de Chile), (294), 1.Caporale, G. M., Amor, T. H., & Rault, C. (2009). Sources of real exchange rate volatility and international financial integration: A dynamic GMM panel data approach.Cheng, A. W. W., & Yip, I. W. H. (2017). China’s macroeconomic fundamentals on stock market volatility: Evidence from Shanghai and Hong Kong. Review of Pacific Basin Financial Markets and Policies, 20(02), 1750014.Conrad, C., Custovic, A., & Ghysels, E. (2018). Long-and short-term cryptocurrency volatility components: A GARCH-MIDAS analysis. Journal of Risk and Financial Management, 11(2), 23.Cohen, K. J., Maier, S. F., Schwartz, R. A., & Whitcomb, D. K. (1981). Transaction costs, order placement strategy, and existence of the bid-ask spread. Journal of political economy, 89(2), 287-305.Copeland, T. E., & Galai, D. (1983). Information effects on the bid‐ask spread. The Journal of Finance, 38(5), 1457-1469.Ding, Z., & Granger, C. W. (1996). Modeling volatility persistence of speculative returns: a new approach. Journal of econometrics, 73(1), 185-215.Devereux, M. B., & Lane, P. R. (2003). Understanding bilateral exchange rate volatility. Journal of International Economics, 60(1), 109-132.Dornbusch, R. (1976). Expectations and exchange rate dynamics. Journal of political Economy, 84(6), 1161-1176.Easley, D., & O'hara, M. (1987). Price, trade size, and information in securities markets. Journal of Financial economics, 19(1), 69-90.Easley, D., & O'Hara, M. (2003). Microstructure and asset pricing. Handbook of the Economics of Finance, 1, 1021-1051.Dominguez, K. M., & Frankel, J. A. (1993). Does foreign-exchange intervention matter? The portfolio effect. The American Economic Review, 83(5), 1356-1369.Dominguez, K. M. (2003). The market microstructure of central bank intervention. Journal of International economics, 59(1), 25-45.Dominguez, K. M. (2006). When do central bank interventions influence intra-daily and longer-term exchange rate movements?. Journal of International Money and Finance, 25(7), 1051-1071.Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the econometric society, 987-1007.Engle, R. F., & Lee, G. (1999). A long-run and short-run component model of stock return volatility. Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive WJ Granger, 475-497.Engle, R. (2004). Risk and volatility: Econometric models and financial practice. American economic review, 94(3), 405-420.Engle, R. F., & Rangel, J. G. (2008). The spline-GARCH model for low-frequency volatility and its global macroeconomic causes. The review of financial studies, 21(3), 1187-1222.Engle, R. F., Ghysels, E., & Sohn, B. (2013). Stock market volatility and macroeconomic fundamentals. 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GVyZWNob3MgZGUgYXV0b3IgcXVlIGNvbmxsZXZlIGxhIGRpc3RyaWJ1Y2nDs24gZGUgZXN0b3MgYXJjaGl2b3MgeSBtZXRhZGF0b3MuCkFsIGhhY2VyIGNsaWMgZW4gZWwgc2lndWllbnRlIGJvdMOzbiwgdXN0ZWQgaW5kaWNhIHF1ZSBlc3TDoSBkZSBhY3VlcmRvIGNvbiBlc3RvcyB0w6lybWlub3MuCgpVTklWRVJTSURBRCBOQUNJT05BTCBERSBDT0xPTUJJQSAtIMOabHRpbWEgbW9kaWZpY2FjacOzbiAyNy8yMC8yMDIwCg==

Influencia de los fundamentales macroeconómicos sobre la volatilidad de los forwards de la tasa de cambio en Colombia: un acercamiento con el modelo GARCH-MIDAS

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