Resumo

SALAZAR-NUNEZ, Héctor F.  e  VENEGAS-MARTINEZ, Francisco. Dynamics of the nominal exchange rate and the IPC, 1991-2014: a specification that combines models ARFIMA and GARCH. Econ: teor. práct [online]. 2016, n.44, pp.147-168. ISSN 2448-7481.

This paper uses the ARFIMA and GARCH models and combinations of them to detect if some type of memory exists in the nominal exchange rate USD-MXN and in the Mexican Stock Exchange Index during the period 1991-2014. The main empirical finding is that both series present evidence of long memory and arch. However, the ARFIMA and GARCH models fail to explain by themselves the movements of these variables, while the combination of the methodologies (the mean has long memory and the variance changes with time) present the best fit according to Hosking y Sowell tests, and the Akaike information criterion.

Palavras-chave : stock markets; exchange-rate markets; long memory; time series econometric models.

        · resumo em Espanhol     · texto em Espanhol     · Espanhol ( pdf )