The Volatility of the Parallel Exchange Rate in Venezuela 2005-2015

La volatilidad del tipo de cambio paralelo en Venezuela 2005-2015

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Abstract

The parallel exchange rate is one of the most important economic variables for decision making in Venezuela. With the purpose of analyzing the exchange rate considering its inherent characteristics, excess kurtosis, persistence and asymmetry, a theoretical synthesis of the main stochastic volatility models is made and a set of models is estimated. The results show that the model that best explains its behavior is an EGARCH (1.1); it captures the asymmetric effect of stochastic perturbations on the series. Negative shocks (depreciation of the parallel exchange rate) increase the volatility while positive shocks (appreciation of the parallel exchange rate) seem not to exert any effect.

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Author Biographies (SEE)

Laura Daniela Castillo Paredes, Universidad de Los Andes

Economista de la Universidad de Los Andes. Venezuela. Magister en Estadística de la Universidad de Los Andes, Venezuela. Profesora Asistente adscrita al Departamento de Economía de la Universidad de Los Andes, Mérida -Venezuela.

Josefa Ramoni Perazzi, Universidad de Santander

Economista de la Universidad de Los Andes, Venezuela. Magister en Estadística de la Universidad de Los Andes. PhD en Economía de la Universidad  de South Florida, Estados Unidos. Profesora Titular jubilada de la Universidad de Los Andes, Mérida-Venezuela. Profesora Titular de la Universidad de Santander.

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