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Modelización De La Volatilidad Del Tipo De Interés A Corto Plazo

Listed author(s):
  • Ángel León


    (Universidad de Alicante)

  • Juan Nave

    (Universidad de Castilla-La Mancha)

Registered author(s):

    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.

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    Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2002-28.

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    Length: 29 pages
    Date of creation: Oct 2002
    Publication status: Published by Ivie
    Handle: RePEc:ivi:wpasec:2002-28
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