Núm. 44 (2016)
Artículos

Dinámicas del tipo de cambio nominal y del IPC, 1991-2014: una especificación que combina los modelos ARFIMA y GARCH

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  • Héctor F. Salazar-Núñez,
  • Francisco Venegas Martínez
Héctor F. Salazar-Núñez
Instituto Politécnico Nacional
Biografía
Francisco Venegas Martínez
Instituto Politécnico Nacional
Biografía
DOI: https://doi.org/10.24275/ETYPUAM/NE/442016/Salazar
Publicado junio 1, 2016
Palabras clave
  • mercados bursátiles,
  • mercados cambiarios,
  • memoria larga,
  • modelos econométricos de series temporales
Aviso de derechos de autor/a

Resumen

En este trabajo se utilizan los modelos ARFIMA y GARCH, así como combinaciones de ellos para detectar algún tipo de memoria en el tipo de cambio nominal USD-MXN y el índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores durante el periodo 1991-2014. El principal hallazgo empírico es que ambas series presentan evidencia de memoria larga y de ARCH. Sin embargo, los modelos ARFIMA y GARCH no explican por sí mismos el comportamiento de las variables, mientras que su combinación (la media tiene memoria larga y la varianza cambia con el tiempo) presenta un mejor ajuste de acuerdo a las pruebas de Hosking y de Sowell y al criterio de información de Akaike.

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Citas

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