<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0186-1042</journal-id>
<journal-title><![CDATA[Contaduría y administración]]></journal-title>
<abbrev-journal-title><![CDATA[Contad. Adm]]></abbrev-journal-title>
<issn>0186-1042</issn>
<publisher>
<publisher-name><![CDATA[Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0186-10422021000200013</article-id>
<article-id pub-id-type="doi">10.22201/fca.24488410e.2021.2642</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Comparison of the GARCH and stochastic models: An application to the Mexican peso-us dollar exchange rate]]></article-title>
<article-title xml:lang="es"><![CDATA[Comparación de modelos GARCH y estocásticos: una aplicación en el tipo de cambio peso mexicano-dólar estadounidense]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Avilés Ochoa]]></surname>
<given-names><![CDATA[Ezequiel]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Flores Sos]]></surname>
<given-names><![CDATA[Martha Margarita]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Autónoma de Occidente  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>México</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>06</month>
<year>2021</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>06</month>
<year>2021</year>
</pub-date>
<volume>66</volume>
<numero>2</numero>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0186-10422021000200013&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0186-10422021000200013&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0186-10422021000200013&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract Forecasting volatility is of great importance an important topic for researchers, entrepreneurs, and policymakers. This work compares different volatility models to ascertain their forecasting efficiency. The models include standard approaches such as Autoregressive Conditional Heteroskedasticity (GARCH), exponential GARCH, and Stochastic Volatility models (SV). For estimation, a comparison between the Frequentist and the Bayesian approaches are made using the maximum likelihood and the Monte Carlo Markov Chains (MCMC) methods. The case analysis considers the Mexican peso/US dollar exchange rate. The results show a favorable behavior between the SV models estimated with the MCMC and the GARCH models in forecasting out of the sample. Additionally, the analysis shows that the current volatility reacts to the data within the last period, despite the former periods.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen El pronóstico de la volatilidad es un tema importante para investigadores, empresarios y responsables políticos. Este trabajo compara modelos de volatilidad para determinar su eficiencia en el pronóstico. Los modelos incluyen modelos estándar, como los son, modelos de Heteroscedasticidad condicional autoregresiva (GARCH), exponencial y Volatilidad estocástica (SV). Para la estimación, se realiza una comparación entre los métodos frecuentistas y bayesianos, utilizando máxima verosimilitud y Cadenas de Marcov Montecarlo (MCMC). El análisis es aplicado en el tipo de cambio del peso mexicano-dólar estadounidense. Los resultados muestran que los modelos SV estimados con MCMC se comportan favorablemente frente a los modelos GARCH en el pronóstico de la muestra. Además, el análisis evidencia que la volatilidad actual reacciona a la última información dentro de un período, sin importar los períodos anteriores.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[C13]]></kwd>
<kwd lng="en"><![CDATA[C32]]></kwd>
<kwd lng="en"><![CDATA[C52]]></kwd>
<kwd lng="en"><![CDATA[G17]]></kwd>
<kwd lng="en"><![CDATA[GARCH]]></kwd>
<kwd lng="en"><![CDATA[Stochastic Model]]></kwd>
<kwd lng="en"><![CDATA[Exchange rate]]></kwd>
<kwd lng="es"><![CDATA[C13]]></kwd>
<kwd lng="es"><![CDATA[C32]]></kwd>
<kwd lng="es"><![CDATA[C52]]></kwd>
<kwd lng="es"><![CDATA[G17]]></kwd>
<kwd lng="es"><![CDATA[GARCH]]></kwd>
<kwd lng="es"><![CDATA[Modelo estocástico]]></kwd>
<kwd lng="es"><![CDATA[Tipo de cambio]]></kwd>
</kwd-group>
</article-meta>
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