<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0121-750X</journal-id>
<journal-title><![CDATA[Ingeniería]]></journal-title>
<abbrev-journal-title><![CDATA[ing.]]></abbrev-journal-title>
<issn>0121-750X</issn>
<publisher>
<publisher-name><![CDATA[Universidad Distrital Francisco José de Caldas]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0121-750X2018000200166</article-id>
<article-id pub-id-type="doi">10.14483/23448393.12726</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Pronóstico de divisas latinoamericanas con modelos de Volatilidad Estática y Estocástico]]></article-title>
<article-title xml:lang="en"><![CDATA[Forecasting Latin-American Currency Exchange using Models with Static and Stochastic Volatility]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Roldán Martínez]]></surname>
<given-names><![CDATA[Laura Camila]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Piloto de Colombia  ]]></institution>
<addr-line><![CDATA[Bogotá ]]></addr-line>
<country>Colombia</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>08</month>
<year>2018</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>08</month>
<year>2018</year>
</pub-date>
<volume>23</volume>
<numero>2</numero>
<fpage>166</fpage>
<lpage>189</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.co/scielo.php?script=sci_arttext&amp;pid=S0121-750X2018000200166&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.co/scielo.php?script=sci_abstract&amp;pid=S0121-750X2018000200166&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.co/scielo.php?script=sci_pdf&amp;pid=S0121-750X2018000200166&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen  Contexto:  El mercado de divisas es conocido como el mercado más liquido en el sistema financiero. Su fuerte. Repercusión en la economía se encuentra atada a la capitalización y el impulso que este mercado proporciona a través del aumento de las inversiones y por ende de efectos macroeconómicos que se encuentra implícitos en el desarrollo de la economía, Por esta razón, es relevante estudiar modelos de predicción del comportamiento de las principales divisas latinas.  Método:  Se plantean dos modelos para el pronóstico y la identificación de factores implícitos en los comportamientos de estas monedas. El primer modelo planteado corresponde al de Black-Scholes, el cual permite obtener el precio futuro de la divisa basándose en procesos de precio integrando, un proceso Wiener y se reconoce una volatilidad estática. El segundo modelo es Heston, el cual describe la evolución de la volatilidad de un activo subyacente y asume una volatilidad estocástica. En la presente investigación.  Resultados:  Luego de la aplicación de las dos metodologías que se propusieron se evalúa la eficiencia de los dos modelos por medio del Test de Diebold-Mariano, con el fin de identificar el modelo de pronóstico que mejor se adapta al comportamiento real de las paridades.  Conclusiones:  En resultado de la investigación se identifica que modelo de Heston brinda un mejor ajuste al pronóstico, asumiendo volatilidad aleatoria en el corto plazo para cada una de las divisas, mientras que al largo plazo presenta mayor ajuste el modelo Black-Scholes, se evidencia que cuanto mayor sea el tiempo de pronóstico, mayor incertidumbre se presentara y mayor error de pronóstico.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract  Context:  The currency market is known as the most liquid market in the financial system. Its strong repercussion in the economy is tied to the capitalization and the impulse that this market offers through the increase of investments and therefore of macroeconomic effects that is found in the development of the economy, For these reasons, it is relevant to study models that predict the behavior of the main Latin currencies.  Method:  Two models are proposed for the prognosis and the identification of factors implicit in the behavior of these currencies. The first proposed model corresponds to the Black-Scholes, which allows obtaining the future price of the currency based on integrating price processes, a Wiener process and a static volatility is recognized. The second model is Heston, which describes the evolution of the volatility of an underlying asset and assumes a stochastic volatility.  Results:  After the application of the proposed mmodels, their efficiency are evaluated by means of the Diebold- Mariano Test, in order to identify the forecast model that best adapts models, their efficiency areto the real behavior of the parities.  Conclusions:  It is identified that the Heston model offers a better fit to the forecast, assuming random volatility in the short term for each of the currencies, while the long term presents the largest adjustment of the Black &amp; Scholes model, It is evident that the longer the forecast time, the greater the uncertainty and the greater the prediction error.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[Black-Scholes]]></kwd>
<kwd lng="en"><![CDATA[Diebold-Mariano]]></kwd>
<kwd lng="en"><![CDATA[currencies]]></kwd>
<kwd lng="en"><![CDATA[Heston]]></kwd>
<kwd lng="en"><![CDATA[Parities]]></kwd>
<kwd lng="en"><![CDATA[forecast]]></kwd>
<kwd lng="en"><![CDATA[Language: Spanish]]></kwd>
<kwd lng="es"><![CDATA[Black-Scholes]]></kwd>
<kwd lng="es"><![CDATA[Diebold-Mariano]]></kwd>
<kwd lng="es"><![CDATA[divisas]]></kwd>
<kwd lng="es"><![CDATA[Heston]]></kwd>
<kwd lng="es"><![CDATA[paridades]]></kwd>
<kwd lng="es"><![CDATA[pronóstico]]></kwd>
<kwd lng="es"><![CDATA[Idioma: Español]]></kwd>
</kwd-group>
</article-meta>
</front><back>
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