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...

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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
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License
Acceso abierto
Description
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.