Impactos de los Anuncios de Política Monetaria y del Vencimiento de Derivados sobre la Volatilidad del Tipo de Cambio del Peso Mexicano: Modelos GARCH y OCHL Range
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https://doi.org/10.17533/udea.le.n103a358443Palabras clave:
maturity of derivatives, monetary policy decisions, foreign exchange volatility, GARCH models, range modelsResumen
El presente artículo tiene por objetivo analizar el impacto de los anuncios de cambios de tasas de interés y del vencimiento de los derivados en la volatilidad cambiaria en México. Para ello, primero se estima la volatilidad mediante cuatro medidas de volatilidad de rango (modelos OCLH) y tres extensiones de la familia GARCH (GARCH, TARCH y EGARCH) asumiendo distribución normal, t-Student y GED. Una vez estimadas las volatilidades, se estima el impacto de los anuncios de política monetaria y del vencimiento de derivados en el MexDer. Se emplean datos diarios de cierre, apertura, máximo y mínimo durante el periodo 2013-Mayo/2024. Los resultados arrojan que las medidas de volatilidad de rango infravaloran la volatilidad cambiaria. Aparentemente, los vencimientos de los derivados y los anuncios de la política monetaria tienen un efecto negativo en las volatilidades de rango/intradía, pero no en la volatilidad condicional que contempla persistencia y asimetría en la volatilidad.
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