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Modelización de la volatilidad del tipo de interés a corto plazo
Francis Benito, Ángel León and Juan M. Nave |
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This paper compares the ability of alternative one factor models to capture the volatility of short interest rates in the Spanish market. Several conditional heteroscedasticity models are estimated. Specifically, they are divided into three groups: (1) Levels models, (2) GARCH models and (3) Mixed models. Models under the last group combine the effects in both (1) and (2). The empirical results show that Mixed ones overcome the others. This fact confirms the international evidence. Finally, there is no significance for asymmetric behavior in the conditional volatility.
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