Conditional volatility of Colombian Governmental fixed income securities as a predictor of short-term returns
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....
- Autores:
-
Pantoja-Robayo, J. O. (Javier Orlando)
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2008
- Institución:
- Universidad EIA .
- Repositorio:
- Repositorio EIA .
- Idioma:
- eng
- OAI Identifier:
- oai:repository.eia.edu.co:11190/612
- Acceso en línea:
- https://repository.eia.edu.co/handle/11190/612
- Palabra clave:
- REI00092
ORGANIZACIÓN E INDUSTRIA
ORGANIZATION AND INDUSTRY
CARTERA DE INVERSIONES
PORTFOLIO ( FINANCE )
CONDITIONAL VOLATILITY
SHORT TERM RETURN STRUCTURE
FORWARD RATES
GARCH MODELS
TERM PREMIUM
GOVERNMENTAL FIXED INCOME SECURITIES
VOLATILIDAD CONDICIONAL
ESTRUCTURA DE RETORNOS DE CORTO PLAZO
TASAS DE INTERÉS FUTURAS
MODELOS GARCH
PRIMA DE RIESGO
TÍTULOS GUBERNAMENTALES DE RENTA FIJA
- Rights
- openAccess
- License
- Derechos Reservados - Universidad EIA, 2020
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| dc.title.spa.fl_str_mv |
Conditional volatility of Colombian Governmental fixed income securities as a predictor of short-term returns |
| dc.title.alternative.spa.fl_str_mv |
Volatilidad condicional de los títulos de renta fija del Gobierno Colombiano como predictor de los retornos de corto plazo |
| title |
Conditional volatility of Colombian Governmental fixed income securities as a predictor of short-term returns |
| spellingShingle |
Conditional volatility of Colombian Governmental fixed income securities as a predictor of short-term returns REI00092 ORGANIZACIÓN E INDUSTRIA ORGANIZATION AND INDUSTRY CARTERA DE INVERSIONES PORTFOLIO ( FINANCE ) CONDITIONAL VOLATILITY SHORT TERM RETURN STRUCTURE FORWARD RATES GARCH MODELS TERM PREMIUM GOVERNMENTAL FIXED INCOME SECURITIES VOLATILIDAD CONDICIONAL ESTRUCTURA DE RETORNOS DE CORTO PLAZO TASAS DE INTERÉS FUTURAS MODELOS GARCH PRIMA DE RIESGO TÍTULOS GUBERNAMENTALES DE RENTA FIJA |
| title_short |
Conditional volatility of Colombian Governmental fixed income securities as a predictor of short-term returns |
| title_full |
Conditional volatility of Colombian Governmental fixed income securities as a predictor of short-term returns |
| title_fullStr |
Conditional volatility of Colombian Governmental fixed income securities as a predictor of short-term returns |
| title_full_unstemmed |
Conditional volatility of Colombian Governmental fixed income securities as a predictor of short-term returns |
| title_sort |
Conditional volatility of Colombian Governmental fixed income securities as a predictor of short-term returns |
| dc.creator.fl_str_mv |
Pantoja-Robayo, J. O. (Javier Orlando) |
| dc.contributor.author.spa.fl_str_mv |
Pantoja-Robayo, J. O. (Javier Orlando) |
| dc.subject.lcsh.spa.fl_str_mv |
REI00092 |
| topic |
REI00092 ORGANIZACIÓN E INDUSTRIA ORGANIZATION AND INDUSTRY CARTERA DE INVERSIONES PORTFOLIO ( FINANCE ) CONDITIONAL VOLATILITY SHORT TERM RETURN STRUCTURE FORWARD RATES GARCH MODELS TERM PREMIUM GOVERNMENTAL FIXED INCOME SECURITIES VOLATILIDAD CONDICIONAL ESTRUCTURA DE RETORNOS DE CORTO PLAZO TASAS DE INTERÉS FUTURAS MODELOS GARCH PRIMA DE RIESGO TÍTULOS GUBERNAMENTALES DE RENTA FIJA |
| dc.subject.eia.spa.fl_str_mv |
ORGANIZACIÓN E INDUSTRIA ORGANIZATION AND INDUSTRY |
| dc.subject.eurovoc.spa.fl_str_mv |
CARTERA DE INVERSIONES PORTFOLIO ( FINANCE ) |
| dc.subject.keywords.spa.fl_str_mv |
CONDITIONAL VOLATILITY SHORT TERM RETURN STRUCTURE FORWARD RATES GARCH MODELS TERM PREMIUM GOVERNMENTAL FIXED INCOME SECURITIES VOLATILIDAD CONDICIONAL ESTRUCTURA DE RETORNOS DE CORTO PLAZO TASAS DE INTERÉS FUTURAS MODELOS GARCH PRIMA DE RIESGO TÍTULOS GUBERNAMENTALES DE RENTA FIJA |
| description |
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. That is, including conditional volatility allows capturing a risk factor consistent with the agent’s expectations. A slow mean-reverting process is also found across different maturities, which is the case of the governmental fixed income securities. In fact, the power of forecasting changes from a six-month to a three-year forward period, at six-month steps according to the mean-reverting tendency which also implied that its predictive power improves at longer forecasting horizons. On the other hand, it presents evidence about the Colombian markets crash in May 2006, which generated special conditions that impacted the market’s behavior and the agent’s risk tolerance. |
| publishDate |
2008 |
| dc.date.created.spa.fl_str_mv |
2008-12 |
| dc.date.submitted.spa.fl_str_mv |
2008-08-14 |
| dc.date.accepted.spa.fl_str_mv |
2008-12-16 |
| dc.date.accessioned.spa.fl_str_mv |
2014-05-12T21:35:22Z |
| dc.date.available.spa.fl_str_mv |
2014-05-12T21:35:22Z |
| dc.date.issued.spa.fl_str_mv |
2014-05-12 |
| dc.type.spa.fl_str_mv |
Artículo de revista |
| dc.type.coar.fl_str_mv |
http://purl.org/coar/resource_type/c_2df8fbb1 |
| dc.type.coar.spa.fl_str_mv |
http://purl.org/coar/resource_type/c_6501 |
| dc.type.driver.spa.fl_str_mv |
info:eu-repo/semantics/article |
| dc.type.version.spa.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
| dc.type.content.spa.fl_str_mv |
Text |
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https://purl.org/redcol/resource_type/ART |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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http://purl.org/coar/resource_type/c_6501 |
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ISSN 17941237 |
| dc.identifier.uri.spa.fl_str_mv |
https://repository.eia.edu.co/handle/11190/612 |
| dc.identifier.bibliographiccitation.spa.fl_str_mv |
Pantoja, J. Conditional volatility of Colombian Governmental fixed income securities as a predictor of short-term returns, Revista EIA, 10, 73-87. doi: http://repository.eia.edu.co/handle/11190/612 |
| identifier_str_mv |
ISSN 17941237 Pantoja, J. Conditional volatility of Colombian Governmental fixed income securities as a predictor of short-term returns, Revista EIA, 10, 73-87. doi: http://repository.eia.edu.co/handle/11190/612 |
| url |
https://repository.eia.edu.co/handle/11190/612 |
| dc.language.iso.spa.fl_str_mv |
eng |
| language |
eng |
| dc.relation.references.spa.fl_str_mv |
Hicks, J. (1939). Value and capital. Oxford University Press. Ho, T. and Lee, S.-B. (1986). Term structure movements and pricing interest rate contingent claims. The Journal of Finance. Vol. 41, No. 5, 1011-1029. Hull, J. and White, A. (1990). Valuing derivative securities using the explicit finite difference method. Journal of Financial and Quantitative Analysis. Vol. 25 (1) 87-100. |
| dc.rights.spa.fl_str_mv |
Derechos Reservados - Universidad EIA, 2020 |
| dc.rights.uri.spa.fl_str_mv |
https://creativecommons.org/licenses/by-nc/4.0/ |
| dc.rights.accessrights.spa.fl_str_mv |
info:eu-repo/semantics/openAccess |
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Atribución-NoComercial |
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http://purl.org/coar/access_right/c_abf2 |
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Derechos Reservados - Universidad EIA, 2020 https://creativecommons.org/licenses/by-nc/4.0/ Atribución-NoComercial http://purl.org/coar/access_right/c_abf2 |
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openAccess |
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15 p. |
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application/pdf |
| dc.publisher.department.spa.fl_str_mv |
Administrativa, Financiera, Sistemas y Computación |
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Escuela de Ingeniería de Antioquia EIA |
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Universidad EIA . |
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Pantoja-Robayo, J. O. (Javier Orlando)c948e4d0514c178951f9feff35b78673-1jpantoja@eafit.edu.co2014-05-12T21:35:22Z2014-05-12T21:35:22Z2008-122014-05-122008-08-142008-12-16ISSN 17941237https://repository.eia.edu.co/handle/11190/612Pantoja, J. Conditional volatility of Colombian Governmental fixed income securities as a predictor of short-term returns, Revista EIA, 10, 73-87. doi: http://repository.eia.edu.co/handle/11190/612According 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. That is, including conditional volatility allows capturing a risk factor consistent with the agent’s expectations. A slow mean-reverting process is also found across different maturities, which is the case of the governmental fixed income securities. In fact, the power of forecasting changes from a six-month to a three-year forward period, at six-month steps according to the mean-reverting tendency which also implied that its predictive power improves at longer forecasting horizons. On the other hand, it presents evidence about the Colombian markets crash in May 2006, which generated special conditions that impacted the market’s behavior and the agent’s risk tolerance.De acuerdo con la literatura las tasas de interés futuras de largo plazo ofrecen información relevante que las convierte en un buen predictor de la estructura de retornos de corto plazo. Este artículo encuentra que el factor de volatilidad condicional posee información para predecir la prima a plazo con intervalos de seis meses para diferentes vencimientos. En otras palabras, incluir la volatilidad condicional como factor permite captar las señales de riesgo en consonancia con las expectativas de los agentes. Se evidencia, además, un proceso lento de reversión a la media para diferentes vencimientos en los títulos gubernamentales, lo cual incide sobre la capacidad de predicción, que en este caso muestra ser mayor para vencimientos más tardíos. Por otra parte, se presenta evidencia sobre la caída del mercado colombiano en mayo de 2006, hecho que generó condiciones especiales de operación, además de impactar sobre la percepción de riesgo de los agentes.15 p.application/pdfengDerechos Reservados - Universidad EIA, 2020https://creativecommons.org/licenses/by-nc/4.0/El autor de la obra, actuando en nombre propio, hace entrega del ejemplar respectivo y de sus anexos en formato digital o electrónico y autoriza a la ESCUELA DE INGENIERIA DE ANTIOQUIA, para que en los términos establecidos en la Ley 23 de 1982, Ley 44 de 1993, Decisión andina 351 de 1993, Decreto 460 de 1995, y demás normas generales sobre la materia, utilice y use por cualquier medio conocido o por conocer, los derechos patrimoniales de reproducción, comunicación pública, transformación y distribución de la obra objeto del presente documento. PARÁGRAFO: La presente autorización se hace extensiva no sólo a las dependencias y derechos de uso sobre la obra en formato o soporte material, sino también para formato virtual, electrónico, digital, y en red, internet, extranet, intranet, etc., y en general en cualquier formato conocido o por conocer. EL AUTOR, manifiesta que la obra objeto de la presente autorización es original y la realiza sin violar o usurpar derechos de autor de terceros, por lo tanto la obra es de exclusiva autoría y tiene la titularidad sobre la misma. PARÁGRAFO: En caso de presentarse cualquier reclamación o acción por parte de un tercero en cuanto a los derechos de autor sobre la obra en cuestión, EL AUTOR, asumirá toda la responsabilidad, y saldrá en defensa de los derechos aquí autorizados; para todos los efectos la ESCUELA DE INGENIERÍA DE ANTIOQUIA actúa como un tercero de buena fe.info:eu-repo/semantics/openAccessAtribución-NoComercialhttp://purl.org/coar/access_right/c_abf2REI00092ORGANIZACIÓN E INDUSTRIAORGANIZATION AND INDUSTRYCARTERA DE INVERSIONESPORTFOLIO ( FINANCE )CONDITIONAL VOLATILITYSHORT TERM RETURN STRUCTUREFORWARD RATESGARCH MODELSTERM PREMIUMGOVERNMENTAL FIXED INCOME SECURITIESVOLATILIDAD CONDICIONALESTRUCTURA DE RETORNOS DE CORTO PLAZOTASAS DE INTERÉS FUTURASMODELOS GARCHPRIMA DE RIESGOTÍTULOS GUBERNAMENTALES DE RENTA FIJAConditional volatility of Colombian Governmental fixed income securities as a predictor of short-term returnsVolatilidad condicional de los títulos de renta fija del Gobierno Colombiano como predictor de los retornos de corto plazoArtículo de revistahttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionTexthttps://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_970fb48d4fbd8a85Administrativa, Financiera, Sistemas y ComputaciónEscuela de Ingeniería de Antioquia EIAHicks, J. (1939). Value and capital. Oxford University Press.Ho, T. and Lee, S.-B. (1986). Term structure movements and pricing interest rate contingent claims. The Journal of Finance. Vol. 41, No. 5, 1011-1029.Hull, J. and White, A. (1990). Valuing derivative securities using the explicit finite difference method. Journal of Financial and Quantitative Analysis. 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