지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국자료분석학회 Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제15권 제3호
- 발행연도
- 2013.1
- 수록면
- 1,183 - 1,195 (13page)
이용수
초록· 키워드
오류제보하기
This paper analyzes and compares short term interest rate GARCH models of Korean short term interest rates. It is investigated that short term interest rates are drift-induced stationary, that the drift function of interest rate is nonlinear, and that the conditional volatility of interest rate has asymmetry and level effect. Two kinds of Level-GARCH models, which have the pure adjusting level effect and the recursively additive level effect, are considered. Empirical results show that the nonlinear-asymmetric GARCH model with pure scale adjusting level effect fits best among all the models estimated. While the short term interest rate GARCH models pass through each conventional test, it turns out that all models are rejected by non-parametric omnibus specification tests. The diagnostic results indicate that further model improvements are required for understanding of the dynamics of interest rates.
목차
등록된 정보가 없습니다.
참고문헌 (27)
참고문헌 신청
Ahn, D. -H. / 1999 / A Parametric Nonlinear Model of Term Structure Dynamics / Review of Financial Studies 12 : 721 ~ 762
Ait-Sahalia, Y. / 1996 / Testing Continuous-Time Models of the Spot Interest Rate / Review of Financial Studies 9 (2) : 385 ~ 426
Andersen, T. G. / 1997 / Estimating Continuous time Volatility Models of Short-Term Interest Rate / Journal of Econometrics 77 : 343 ~ 377
Ball, C. A. / 1996 / Unit Roots and the Estimation of Interest Rate Dynamics / Journal of Empirical Finance 3 : 215 ~ 238
Bollerslev, T. / 1986 / Generalized Autoregressive Conditional Heteroskedasticity / Journal of Econometrics 31 : 307 ~ 327
Ait-Sahalia, Y. / 1996 / Testing Continuous-Time Models of the Spot Interest Rate / Review of Financial Studies 9 (2) : 385 ~ 426
Andersen, T. G. / 1997 / Estimating Continuous time Volatility Models of Short-Term Interest Rate / Journal of Econometrics 77 : 343 ~ 377
Ball, C. A. / 1996 / Unit Roots and the Estimation of Interest Rate Dynamics / Journal of Empirical Finance 3 : 215 ~ 238
Bollerslev, T. / 1986 / Generalized Autoregressive Conditional Heteroskedasticity / Journal of Econometrics 31 : 307 ~ 327
이 논문의 저자 정보
최근 본 자료
댓글(0)
0