The Impacts of Monetary Policy Announcements and Derivatives Maturity on the Mexican Peso Exchange Rate Volatility: GARCH and OCHL Range Models
We analyze the impact of interest rate changes and derivatives maturity announcements on exchange rate volatility in Mexico. To do so, we first estimate volatility using four measures of range volatility (OCLH models) and three extensions of the GARCH family (GARCH, TARCH and EGARCH), assuming norma...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidad de Antioquia
2025-05-01
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| Series: | Lecturas de Economía |
| Subjects: | |
| Online Access: | https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/358443 |
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