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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| Format: | Article |
| Language: | English |
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Universidad de Antioquia
2025-05-01
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| Series: | Lecturas de Economía |
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| Online Access: | https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/358443 |
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| author | Magnolia Miriam Sosa Castro Maria Alejandra Cabello Rosales Edgar Ortiz Calisto |
| author_facet | Magnolia Miriam Sosa Castro Maria Alejandra Cabello Rosales Edgar Ortiz Calisto |
| author_sort | Magnolia Miriam Sosa Castro |
| collection | DOAJ |
| description | 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 normal distribution, t-Student and GED. Once volatilities are estimated, the impact of monetary policy announcements and derivatives maturity on the MexDer is estimated using daily closing, opening, high, and low data during the period January/2013-April/2024. The results show that range volatility measures underestimate exchange rate volatility. Apparently, derivatives maturities and monetary policy announcements have a negative effect on range/intraday volatilities, but not on the conditional volatility that contemplates persistence and asymmetry in volatility. |
| format | Article |
| id | doaj-art-b882448bf3384ffd8a51ae22b14d243e |
| institution | OA Journals |
| issn | 0120-2596 2323-0622 |
| language | English |
| publishDate | 2025-05-01 |
| publisher | Universidad de Antioquia |
| record_format | Article |
| series | Lecturas de Economía |
| spelling | doaj-art-b882448bf3384ffd8a51ae22b14d243e2025-08-20T02:35:05ZengUniversidad de AntioquiaLecturas de Economía0120-25962323-06222025-05-01103477510.17533/udea.le.n103a35844376771The Impacts of Monetary Policy Announcements and Derivatives Maturity on the Mexican Peso Exchange Rate Volatility: GARCH and OCHL Range ModelsMagnolia Miriam Sosa Castro0https://orcid.org/0000-0002-6597-5293Maria Alejandra Cabello Rosales1Edgar Ortiz Calisto2UNIVERSIDAD AUTÓNOMA METROPOLITANA-IZTAPALAPAUniversidad Nacional Autónoma de MéxicoUniversidad Autónoma de MéxicoWe 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 normal distribution, t-Student and GED. Once volatilities are estimated, the impact of monetary policy announcements and derivatives maturity on the MexDer is estimated using daily closing, opening, high, and low data during the period January/2013-April/2024. The results show that range volatility measures underestimate exchange rate volatility. Apparently, derivatives maturities and monetary policy announcements have a negative effect on range/intraday volatilities, but not on the conditional volatility that contemplates persistence and asymmetry in volatility.https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/358443polìtica monetariamercado de derivadosvolatilidad de rangomodelos garchmèxico |
| spellingShingle | Magnolia Miriam Sosa Castro Maria Alejandra Cabello Rosales Edgar Ortiz Calisto The Impacts of Monetary Policy Announcements and Derivatives Maturity on the Mexican Peso Exchange Rate Volatility: GARCH and OCHL Range Models Lecturas de Economía polìtica monetaria mercado de derivados volatilidad de rango modelos garch mèxico |
| title | The Impacts of Monetary Policy Announcements and Derivatives Maturity on the Mexican Peso Exchange Rate Volatility: GARCH and OCHL Range Models |
| title_full | The Impacts of Monetary Policy Announcements and Derivatives Maturity on the Mexican Peso Exchange Rate Volatility: GARCH and OCHL Range Models |
| title_fullStr | The Impacts of Monetary Policy Announcements and Derivatives Maturity on the Mexican Peso Exchange Rate Volatility: GARCH and OCHL Range Models |
| title_full_unstemmed | The Impacts of Monetary Policy Announcements and Derivatives Maturity on the Mexican Peso Exchange Rate Volatility: GARCH and OCHL Range Models |
| title_short | The Impacts of Monetary Policy Announcements and Derivatives Maturity on the Mexican Peso Exchange Rate Volatility: GARCH and OCHL Range Models |
| title_sort | impacts of monetary policy announcements and derivatives maturity on the mexican peso exchange rate volatility garch and ochl range models |
| topic | polìtica monetaria mercado de derivados volatilidad de rango modelos garch mèxico |
| url | https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/358443 |
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