https://scholars.lib.ntu.edu.tw/handle/123456789/353051
標題: | Asymmetry and Long Memory in the Dynamics of Interest Rate Volatility | 其他標題: | 短期利率波動度動態中的不對稱與長記憶現象 | 作者: | Yaw-Huei Wang Pei-Shih Weng YAW-HUEI WANG |
公開日期: | 十二月-2008 | 卷: | 1 | 期: | 2 | 起(迄)頁: | 109-131 | 來源出版物: | Journal of Futures and Options | 摘要: | The conditionally heteroskedastic volatility effect in the short-rate volatility process has been broadly investigated, and the long memory phenomena has attracted a lot of attentions, too. However, these two effects have never been involved together to model the dynamics of short-rate volatility. We introduce an asymmetry and long memory conditional variance model, FIEGARCH, to model the dynamics of short-term interest rate volatility on three -month U.S. Treasury bills. By finding significant estimates, we recognize the necessity of the asymmetric volatility function with the long memory property. Our results also show that non-linearity is not a necessary fact for the short-rate drift, instead, the asymmetric specification plays an important role in the mean function. Finally, according to the comparison for the prediction of the volatility dynamics, the FIEGARCH shows better forecasting ability, especially for a monthly frequency. |
URI: | http://scholars.lib.ntu.edu.tw/handle/123456789/353051 |
顯示於: | 財務金融學系 |
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