Estimación del tipo de cambio en Colombia comparando modelos econométricos Arimax-Garch y redes neuronales
Estimating the exchange rate in Colombia by comparing Arimax-Garch econometric models and neural networks
Abstract (en)
The work proposes to compare econometric models such as the combination of Arimax-Garch models against neural networks, with the objective of finding a better predictor of the representative market rate in Colombia (trm), the results of the exercise show that the combination of the Arimax-Garch model for the projection and analysis of such a volatile variable allows obtaining a better estimate than with the implementation of neural networks.
Abstract (es)
El presente trabajo de investigación propone comparar modelos econométricos como la combinación de modelos Arimax-Garch contra redes neuronales, con el objetivo de encontrar un mejor predictor de la tasa representativa del mercado en Colombia (trm); los resultados del ejercicio evidencian que con la combinación del modelo Arimax-Garch para la proyección y el análisis de una variable tan volátil, se obtiene una mejor estimación que con la implementación de la redes neuronales.
References
Aggarwal, R., Inclán, C. y Leal, R. (1999). Volatility in emerging stock markets. The Journal of Financial and Quantitative Analysis, 34(1), 33-55. https://doi.org/bt7xf2
Aguirre, Á. y Calderón, C. (2005). Real exchange misaligments and economic performance. Documentos de Trabajo (Banco Central de Chile), n.º 315. https://shorturl.at/dgoMY
Apergis, N. (2014). Can gold prices forecast the Australian dollar movements? Review of Economics and Finance, 29(C), 75-82. https://doi.org/f5pb2r
Apergis, N., Zestos, G. y Shaltayev, D. (2012). Do market fundamentals determine the Dollar-Euro exhange rate? Journal of Policy Modeling, 34(1), 1-15. https://doi.org/dcj2d7
Bengio, Y. y Simard, P. Y. (1994). Learning long-term dependencies with gradient descent is difficult. EEE Transactions on Neural Networks, 5(2), 157-166. https://t.ly/b__es
Bollerslev, T, (1986). "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
Box, G. and Jenkins, G. (1970) Time Series Analysis Forecasting and Control. Holden-Day, San Francisco.
Burger, S. V. (2018). Introduction to machine learning with r. O'Reilly Media.
Chatterrje, A., Ayadi, O. y Boone, B. (2000). Artificial neural network and the financial markets: a survey. Managerial Finance, 26(12), 32-45. https://doi.org/bffcsq
Clavijo, S. (2001). El régimen de flotación cambiaria en Colombia. Banco de la República (banrep).
Christofi, A. & Pericli, A., (1999). "Correlation in price changes and volatility of major Latin American stock markets," Journal of Multinational Financial Management, Elsevier, vol. 9(1), pages 79-93, January.
Corficolombiana. (2022). Devaluación del peso: causa y efectos. Corficolombiana.
Dirección de Inversiones bbva Banca Privada. (2020, octubre). Factores que afectan el tipo de cambio. https://t.ly/0alk2Edwards, S and Ahamed L, (1986), Introduction to "Economic Adjustment and Exchange Rates in Developing Countries" in , NBER Chapters, National Bureau of Economic Research, Inc
Engle, R.F. (1982) Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50, 987-1007.
Engle, R. (2004). "Risk and Volatility: Econometric Models and Financial Practice." American Economic Review, 94 (3): 405–420.
Fleming, J. (1961). Internal financial policies under fixed and floating exchange rates. Cambridge Journal of Economics, 273-288.
Ghosh, D., Levin, E., Macmillan, P. y Wright, R. (2001). 'Gold as an Inflation Hedge?'. Studies in Economics and Finance, 22(1). https://doi.org/dnmhxr
Granger, C. y Terasvirta, T. (1993). Modeling nonlinear economic relationships. Oxford University Press.
Hochreiter, S. y Schmidhuber, J. (1997, 15 de noviembre). Long short-term memory. Neural Computation, 9(8), 1735-1780. https://doi.org/bxd65w
Jaimes Cárdenas, D. A. y Ojeda Joya, J. (2010). Reglas de Taylor y previsibilidad fuera de muestra de la tasa de cambio en Latinoamérica. Borradores de Economía, (619). banrep. https://shorturl.at/kzEP2
Kilian, L. y Taylor, M. (2003). Why is it so difficult to beat the random walk forecast of exchange rates? Journal of International Economics, 60(1), 85-107. https://shorturl.at/tDRST
Koutsoyiannis, A. (1983). A short-run pricing model for a speculative asset, tested with data from the gold bullion market. Applied Economics, 15(1), 563-581. https://doi.org/df247c
Longin, F. y Solnik, B. (1995). Is the correlation in the international equity returns constant: 1960- 1990? Journal of International Money and Finance, 14(1), 3-26. https://t.ly/WrRJF
Martínez, M., Guzmán, D., Pérez, F. y Marín, N. (2018). Modelo cuantitativo Arimax-Egarch para la predicción de la tasa de cambio colombiana (cop/usd ). Espacios, 39(7), 1-16. https://shorturl.at/gzBSX
Miller, J. L. (2018). Determinantes del tipo de cambio y su volatilidad. Economía unam, 15(45), 70-88. https://t.ly/dT1ys
Moshiri, S. y Cameron, N. (2000). Neural network vs econometric models in forecasting inflation. Journal of Forecasting, 19, 201-217. https://t.ly/btXvo
Mundell, R. (1960). The monetary dynamics of international adjustment. Quarterly Journal of Economics, 74(2), 227-257. https://doi.org/c43wg5
Murcia, A. y Rojas, D. (2014). Determinantes de la tasa de cambio en Colombia: un enfoque de microestructura de mercados. Ensayos sobre Política Económica, 32(74), 52-67. https://t.ly/14cWL
Newsham, G. R., & Birt, B. (2010). Building-level occupancy data to improve ARIMA-based electricity use forecast. Proceedings of the 2nd ACM Workshop on Embedded Sensing Systems for Energy-Efficiency in Building (págs. 13-18). Zurich, Switzerland: ACM
Prasad, K. y Suprabha, K. R. (2015). Measurement of exchange rate exposure: capital market approach versus cash flow approach. Procedia Economics and Finance, 25, 394-399. https://doi.org/k22x
Romero, M., Ramírez, E. y Lozano, F. (2007). La tasa de cambio es gerenciable? Estudios Gerenciales, 23(104), 131-156. https://t.ly/PeqAT
Salcedo Parra, O. J. (2004). Pronóstico de la tasa de cambio nominal utilizando métodos alternativos [tesis de maestría, Universidad de los Andes]. https://shorturl.at/ikuCF
Sallenave, A. (2010). Real exhange rate misalignments and economic performance for the G20 countries. International Economics, 121, 59-80.
Sjaastad, L. (2007). The price of gold and the exchange rates: once again. Economics Discussion / Working Papers 07-20, The University of Western Australia, Department of Economics. https://t.ly/LI8A_
Stock, J. y Watson, M. (2001). A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series. Cambridge University Press. https://t.ly/4aRhI
Toro, J., Garavito, A., López, D. y Montes, E. (2015). El choque petrolero y sus implicaciones en la economía colombiana. Borradores de Economía, 906, 1-65. https://doi.org/k22z
Tsay. R. (2018). Analysis of financial times series. John Willey & Sons. https://t.ly/YCPwQ
Valle Núñez, A. P. (2020). La planificación financiera una herramienta clave para el logro de los objetivos empresariales. Universidad y Sociedad, 12(3), 160-166. https://shorturl.at/dfquB
Varian, H. (2014). "Big Data: New Tricks for Econometrics." Journal of Economic Perspectives, 28 (2): 3–28.
Velásquez Henao, J. D. y González Rivera, L. M. (2006). Modelado del índice de tipo de cambio real colombiano usando redes neuronalesartificiales. Cuadernos de Administración, 19(32), 319-336. https://shorturl.at/diFGJ
How to Cite
License
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
CIFE Journal is under license Creative Commons Atribución-NoComercial-CompartirIgual 4.0 Internacional (CC BY-NC-SA 4.0)
ASSIGNMENT OF AUTHOR'S PATRIMONIAL RIGHTS
_____________________,adult, identified with citizenship card No. _________ issued in the city of____________,henceforth the Assignor, in my capacity as author of the article __________________________________________________, to be published in thejournal _____________________________,volume____,number _____,year________in physical copies in the institutional portal, website or any known or future means, I express my willingness to give gratuitously the economic rights arising from the aforementioned article, in favor of the University of Santo Tomás, (hereinafter ASSIGNEE) specifically for the Journal_______________________in volume and year mentioned above.
THE ASSIGNOR declares that all contents of the aforementioned works are of his own, which are unpublished, that are not being evaluated by another institution, who has alienated them to third parties, which has no legal or contractual restriction that prohibits you authorize open publication and print media, digital access and make it visible in the databases and indexes where the magazine be indexed; The assignor is willing to go to sanitation by any action claim, plagiarism or other type of claim that might arise in this regard.
For all purposes to which it has place the applicable law in respect of this assignment will be legislation on the rights of prime author in the territory of Colombia as well as international treaties on this matter are accepted and incorporated into national legislation and additional legislation is issued on the matter.
Under this assignment, the assignee is authorized to copy, reproduce, distribute, publish, market the article under the transfer by any digital means, electronic or photocopying, known or unknown, retaining the obligation to respect in any case the author's moral rights contained in Article 30 of law 23 of 1982, law 1450 of 2011 and law 1520 of 2012.
It is signed in acceptance to the____day of ______
