Análisis de la dinámica del rendimiento de precios del platino mediante modelos de series de tiempo

Jaime H. Beltrán and José A. Núñez
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Jaime H. Beltrán: Instituto Tecnológico y de Estudios Superiores de Monterrey
José A. Núñez: Instituto Tecnológico y de Estudios Superiores de Monterrey

Panorama Económico, 2014, vol. IX, issue 18, 57-76

Abstract: A través del análisis de causalidad de Granger y el modelo GARCH multivariado estudiamos diferentes variables que afectan el rendimiento del precio spot del platino. Los datos revelan que existe una relación de causalidad bidireccional en el sentido de Granger entre el tipo de cambio dólar-yen y el rendimiento del precio spot del platino, modelada mediante el GARCH multivariado./ Using Granger causality analysis and multivariate GARCH model, we studied different variables affecting the return of platinum spot price. The data reveal that there is a bidirectional causality relation in the Granger sense, between the dollar-yen exchange rate and the return of platinum spot price modeled with a multivariate GARCH model.

Keywords: causalidad; platino; GARCH multivariado./ causality; platinum; multivariate GARCH. (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:ipn:panora:v:ix:y:2014:i:18:p:57-76

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