Peso Evaluation with NADBank

In Fall 2020, I took an International Finance course at Trinity University that assigned many interesting experiential projects, and this was one of those projects. For the project, I worked with a small group of students. We researched and presented on the volatility of the Mexican Peso to Mr. Ernesto Machado, an analyst at the North American Development Bank.

The high volatility of the Mexican Peso has been somewhat mysterious for a while, but has only become more intense over the past decade, so we reviewed older research on MXN. Those articles frequently used the Generalized Autoregressive Conditional Heteroskedasticity model (GARCH) to analyze both the currency and the potential causes that these articles were analyzing.

In order to compare the underlying variables identified in our research, I used NUMXL and Excel to create a GARCH(1 1) model. My group-mates collected data on the underlying variables, and we used our outputs (the predicted variance of the Peso, the predicted variance of the variables, and the historical correlation between the Peso and each variable) to determine a conclusion and present our findings.

Contact me at ty@tykrieger.com if you have any questions, or for a coding (or, in this case, Excel Sheet) sample.

Have a great day!