La volatilidad de la tasa de interés a corto plazo: Un ejercicio para la economía Colombiana, 2001–2006
In this paper we analyze different methodologies that are used to handle the short term interest rate volatility. Specifically, we shall analyze the outcomes that are obtained through three specifications: CKLS, Conditional Heteroscedastic and BHK. The evidence shows that the better specification is...
- Autores:
-
Botero Ramírez, Juan Carlos
Ramírez Hassan, Andrés
- Tipo de recurso:
- Fecha de publicación:
- 2008
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- spa
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/561
- Acceso en línea:
- http://hdl.handle.net/10784/561
- Palabra clave:
- Short term interest rate
CKLS Models
Conditional Heteroskedasticity Models
BHK Models
Tasa de interés de corto plazo
Modelos CKLS
Modelos Heterocedasticidad Condicional
Modelos Mixtos
- Rights
- License
- Acceso abierto
Summary: | In this paper we analyze different methodologies that are used to handle the short term interest rate volatility. Specifically, we shall analyze the outcomes that are obtained through three specifications: CKLS, Conditional Heteroscedastic and BHK. The evidence shows that the better specification is reached through the EGARCH model. It is found that positive shocks in the short term interest rate cause a volatility 22,3% higher than negative shock of the same size. Also, the process converges to an unconditioned mean of 7,11% with a correction factor of 1,2% daily. It is found that the model offers good forecast in a period of three months. |
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