Dinámicas y volatilidades de los rendimientos cambiarios asiáticos, 2020-2024
DOI:
https://doi.org/10.53897/RevChinaGR.2024.04.03Palabras clave:
Rendimientos Cambiarios, Asia, Modelos ARCH/GARCH, Bondad de ajuste, COVID-19Resumen
Se estudiaron las dinámicas y volatilidades de seis series de
rendimientos cambiarios asiáticos durante y después de la pandemia de COVID-19. El estudio emplea siete modelos ARCH/GARCH, diversos supuestos estadísticos y tres criterios de bondad de ajuste. Los hallazgos indican que los modelos más adecuados para describir las series de rendimientos cambiarios, son: 1) el FIEGARCH(1,1,1) para los rendimientos de China, Indonesia y Japón; 2) el FIGARCH(1,1) para Malasia; 3) el GARCH(1,1) para Hong Kong; y 4) el PARCH(1,1,1) para Taiwán. Las seis series de tipos de cambio utilizadas incluyen datos diarios desde el 2 de enero de 2020 hasta el 15 de febrero de 2024.
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