The Impacts of Monetary Policy Announcements and Derivatives Maturity on the Mexican Peso Exchange Rate Volatility: GARCH and OCHL Range Models

Magnolia Miriam Sosa Castro (), Maria Alejandra Cabello Rosales () and Edgar Ortiz Calisto ()
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Magnolia Miriam Sosa Castro: Universidad Autónoma Metropolitana-Iztapalapa
Maria Alejandra Cabello Rosales: Universidad Nacional Autónoma de México
Edgar Ortiz Calisto: Universidad Autónoma de México

Lecturas de Economía, 2025, issue 103, 47-75

Abstract: 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.

Keywords: Monetary policy; Derivatives market; Range volatility; GARCH models; Mexico (search for similar items in EconPapers)
JEL-codes: F31 G11 G13 G15 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:lde:journl:y:2025:i:103:p:47-75

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DOI: 10.17533/udea.le.n103a358443

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