Regímenes de volatilidad del tipo de cambio en Colombia e intervenciones de política

In this document, we explore the dynamics of the volatility of the Colombian exchange rate (USA dollar-Colombia peso). Some features of the stochastic process describing the exchange rate volatility are identified. Special attention is given to the distinction between conditional and unconditional moments. We use an ARCH model with regimen switching (SWARCH) to perform this task. From the comparison of the volatility regimes we conclude that the interventions of the Colombia Central Bank have been ineffective to induce a regimen change in the market.