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...

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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