Examinando por Materia "Nivel de precios"

Mostrando 1 - 1 de 1
  • No hay miniatura disponible
    Publicación
    Efecto de la tasa interbancaria en el precio spot del índice Colcap : un enfoque econométrico y predictivo
    (Universidad EAFIT, 2025) Uribe Arenas, Andrés Mauricio; Restrepo Baena, Andrés Felipe; Botero Ramírez, Juan Carlos
    This research investigates how fluctuations in the interbank rate (IBR) influence the spot price of the COLCAP index, using historical data from reliable financial sources. Econometric and machine learning models were employed, such as GARCH-X to measure volatility, SARIMA for time patterns, and neural networks to identify nonlinear relationships. The results indicate that a 1% increase in the IBR reduces Colcap returns by an average of 9.5%, highlighting a significant negative relationship. It is concluded that the COLCAP exerts a unique causation on the IBR, materializing at 5 lags and emphasizing the influence of the stock market on the interbank rate. The neural network models demonstrated greater accuracy in forecasting volatility. Finally, a moderate upward trend for the COLCAP is projected over 12 months, highlighting the monitoring of the IBR as key to strategic financial decision-making.