Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial
AbstractIn this paper, we study how different choices of loadings affect forecasting in the exponential term structure model proposed by Diebold and Li (2006). The loadings are defined through a specific parameter lambda which controls both the decaying speed of the slope as well as the maximum of the curvature factors. In particular, adopting a database including Brazilian fixed income future contracts (ID future), we analyze four different rules of choices depending on metrics that minimize forecasting errors, for different forecasting horizons. We conclude that the optimal rule changes for different regions of ID future maturities/different forecasting horizons, indicating that the choice of how movements will be parameterized in this exponential model should be done with care, tailored for each particular application of the model.
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Bibliographic InfoArticle provided by FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) in its journal Revista Brasileira de Economia.
Volume (Year): 62 (2008)
Issue (Month): 4 (December)
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Other versions of this item:
- Caio Almeida & Romeu Gomes & André Leite & José Vicente, 2007. "Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial," Working Papers Series, Central Bank of Brazil, Research Department 146, Central Bank of Brazil, Research Department.
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- Varga, Gyorgy, 2009.
"Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil
[Test of Term Structure Models for Brazil]," MPRA Paper, University Library of Munich, Germany 20832, University Library of Munich, Germany.
- Gyorgy Varga, 2009. "Teste de Modelos Estatisticos para a Estrutura a Termo no Brasil," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 63(4), pages 227-260, December.
- Joao Frois Caldeira & Guilherme Valle Moura & Marcelo Savino Portugal, 2011. "Efficient Interest Ratecurve Estimation And Forecasting In Brazil," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting], ANPEC - AssociaÃ§Ã£o Nacional dos Centros de PÃ³sgraduaÃ§Ã£o em Economia [Brazilian Association of 133, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
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