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Modelización De La Volatilidad Del Tipo De Interés A Corto Plazo


  • Ángel León

    () (Universidad de Alicante)

  • Juan Nave

    (Universidad de Castilla-La Mancha)


This paper focuses on modelling the short-term interest rate. We estimate and compare different conditional heteroskedasticity models which are divided into three groups: (1) the Levels models; (2) the GARCH models; and (3) the Mixed models which take into account the effects in both (1) and (2). The empirical results show that the Mixed models make the best performance according to the conclusions by Brenner et al. (1996). There is also evidence for an asymmetric behaviour in the conditional heteroskedasticity. Este trabajo se centra en la modelización de la volatilidad de los cambios del tipo de interés a corto plazo. Para ello se estiman y comparan distintos modelos de heteroscedasticidad condicional agrupados en tres bloques: (1) los modelos Nivel; (2) los modelos GARCH; y (3) los modelos Mixtos que combinan los efectos recogidos por los anteriores. El análisis realizado revela la superioridad de los modelos Mixtos, confirmando las conclusiones de Brenner et al. (1996). Asimismo, se detecta cierta asimetría en la respuesta de la volatilidad condicional del tipo de interés a corto plazo frente a sus innovaciones.

Suggested Citation

  • Ángel León & Juan Nave, 2002. "Modelización De La Volatilidad Del Tipo De Interés A Corto Plazo," Working Papers. Serie EC 2002-28, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  • Handle: RePEc:ivi:wpasec:2002-28

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    References listed on IDEAS

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    More about this item


    Tipo de interés a corto plazo; Heteroscedasticidad condicional; Modelos GARCH; Modelos unifactoriales; Estructura temporal de los tipos de interés. Short term interest rate; Conditional heteroskedasticity; GARCH models; unifactorial models; Term structure of interest rates.;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects


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