Dinámicas y volatilidades de los rendimientos cambiarios asiáticos, 2020-2024

Autores/as

DOI:

https://doi.org/10.53897/RevChinaGR.2024.04.03

Palabras clave:

Rendimientos Cambiarios, Asia, Modelos ARCH/GARCH, Bondad de ajuste, COVID-19

Resumen

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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Biografía del autor/a

Antonio Ruiz Porras, Universidad de Guadalajara

Profesor Investigador Titular C en el Departamento de Métodos Cuantitativos, Centro Universitario de Ciencias Económico-Administrativas, Universidad de Guadalajara, Zapopan, México. Dirección postal: Periférico Norte N° 799, Núcleo Universitario Los Belenes, C.P. 45100.

Huentli Yolotli Suárez Espinosa, Universidad de Guadalajara

Profesora Docente Titular A en el Departamento de Turismo, Recreación y Servicios y Profesora de Asignatura en el Departamento de Economía, Centro Universitario de Ciencias Económico-Administrativas, Universidad de Guadalajara, Zapopan, México. Dirección postal: Periférico Norte N° 799, Núcleo Universitario Los Belenes, C.P. 45100.o.

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Publicado

26-11-2024

Cómo citar

Ruiz Porras, A., & Suárez Espinosa, H. Y. (2024). Dinámicas y volatilidades de los rendimientos cambiarios asiáticos, 2020-2024. China Global Review, 2(4), 44–73. https://doi.org/10.53897/RevChinaGR.2024.04.03