CONDITIONAL VOLATILITY OF COLOMBIAN GOVERNMENTAL FIXED INCOME SECURITIES AS A PREDICTOR OF SHORT-TERM RETURNS (VOLATILIDAD CONDICIONAL DE LOS TíTULOS DE RENTA FIjA DEL GOBIERNO COLOMBIANO COMO PREDICTOR DE LOS RETORNOS DE CORTO PLAZO)
According to literature, the long-maturity forward rates have information about the structure of the expected short-term returns. This paper finds that the conditional volatility factor also has information for predicting the term premium in the six-month expected returns with different maturities.T...
- Autores:
-
Pantoja, Javier O.
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2013
- Institución:
- Universidad EIA .
- Repositorio:
- Repositorio EIA .
- Idioma:
- eng
- OAI Identifier:
- oai:repository.eia.edu.co:11190/4711
- Acceso en línea:
- https://repository.eia.edu.co/handle/11190/4711
https://revistas.eia.edu.co/index.php/reveia/article/view/211
- Palabra clave:
- conditional volatility
short term return structure
forward rates
GARCH models
term premium
governmental fixed income securities. Palabras clave
volatilidad condicional
estructura de retornos de corto plazo
tasas de interés futuras
modelos GARCH
- Rights
- openAccess
- License
- Revista EIA - 2013