Dinámica no lineal estocástica del mercado cambiario mexicano

Klender Aimer Cortez Alejandro; Martha del Pilar Rodríguez García; Adrián Wong Boren

doi:10.29105/rinn8.16-1

Authors

Klender Aimer Cortez Alejandro Autonomous University of Nuevo León
Martha del Pilar Rodríguez García Autonomous University of Nuevo León
Adrián Wong Boren Autonomous University of Nuevo León

DOI:

https://doi.org/10.29105/rinn8.16-1

Keywords:

BDS Test, Bootstrapping, Exchange Rate, GARCH, Time Series, Volatility

Abstract

This paper presents an analysis of the exchange rate volatility in the Mexican market during the flotation regime adopted since December 1994. The time series under study are the bid and ask interbank daily exchange rates from 1995 to 2010. As a starting point we begin analyzing the temporary structure of the variance, and later we look for a time serie model that best fits the data. In order to detect the non-linear dynamic of the time series, we use the BDS test. The results show evidence in favor of the caractertización of the exchange change pesos/dollar fluctuations with non-linear stochastic models, particularly the GARCH model. In order to validate the model we propose to use the bootstrapping technique together with the BDS test.

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