This article studies volatility measures for a set of currencies pairs in selected oil producer Latin American countries. These countries are also characterized by low levels of derivative markets development, or at least with respect to advanced markets, which creates a lack of adequate volatility measures and hence it makes harder to assess the relationship nature between volatility and prices. To get the price of the currencies it will be used two model the first one geometric Brownian Motion and the second the Heston Model, that are compared by the Diebold and Mariano test, to find the accuracy of the forecasting and conclude which model fit better for a certain period time