Modelo de intervención cambiaria para el caso venezolano

This paper intends to present a methodology that foresees anticipated signal of intervention in the foreign exchange market, related to the levels in the nominal exchange rate volatility observed during the Exchange Rate Flotation Scheme in force between February of 2002 and January of 2003. For reaching this goal, it is used the Value at Risk concept and the Conditional Heteroskedasticity Model GARCH (1,1). This model defines exchange rate fluctuations that are not associated with the macroeconomic fundamentals and would require the intervention in the foreign exchange market by the monetary authority.