Evaluation of volatility models with long memory
Evidence from Peru
DOI:
https://doi.org/10.15381/pesquimat.v23i2.19342Keywords:
volatily, GARCH, FIGARCH.Abstract
The objective of the study is to compare long memory models to model exchange rate volatility. For this objective, the nominal sol / dollar exchange rate is used, covering the periods from July 19, 1999 to November 19, 2013. Essentially, it seeks to examine the prediction capacity between long memory models and hyperbolic behavior of the autocorrelations given by FIGARCH, HYGARCH and IGARCH and concluding that the FIGARCH model (1,0,637,1) using a t-student distribution has a better predictive capacity. The prediction of exchange rate volatility in the case of Peru is structurally important in the calculation of Value at Risk (VaR) and in risk management.
Downloads
Published
Issue
Section
License
Copyright (c) 2020 José Luis Briones Zúñiga
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
THE AUTHORS RETAIN THEIR RIGHTS:
a) The authors retain their trademark and patent rights, and also on any process or procedure described in the article.
b) The authors retain the right to share, copy, distribute, execute and publicly communicate the article published in Pesquimat magazine (for example, place it in an institutional repository or publish it in a book), with recognition of its initial publication in the Pesquimat magazine.
c) The authors retain the right to make a later publication of their work, to use the article or any part of it (for example: a compilation of their works, notes for conferences, thesis, or for a book), provided that they indicate the source of publication (authors of the work, magazine, volume, number and date).
