A term structure model of interest rates with quadratic volatility
A term structure model of interest rates with quadratic volatility
复制标题
具有二次波动率的利率期限结构模型
DOI：
10.1080/14697688.2017.1417623
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发表时间：
2018
影响因子：
1.3
通讯作者：
Takamizawa Hideyuki
中科院分区：
文献类型：
--
作者：
篠原正博・大澤俊一・山下耕治編;山田直夫・高松慶裕 他;Takamizawa Hideyuki
本文提出了一个无套利期限结构模型，该模型能够在不牺牲对利率水平的横截面和预测能力的拟合度的前提下，捕捉利率的波动性。该模型的关键特征是因素变化的协方差矩阵，它被指定为因素的二次函数。即使有跨度因素，二次规范也可以捕获强烈的波动性，而仿射规范则不是这样。此外，由于二次规范确保协方差矩阵的正定性而不限制因子的符号，因此它允许灵活地规范物理漂移，正如高斯项结构模型一样，这也有助于准确的水平预测。
This study proposes a no-arbitrage term structure model that can capture the volatility of interest rates without sacrificing the goodness-of-fit to the cross-section and predictive ability about the level of interest rates. The key feature of the model is the covariance matrix of changes in factors, which is specified as quadratic functions of factors. The quadratic specification can capture intense volatility even with spanned factors, which is not the case for the affine specification. Furthermore, since the quadratic specification guarantees the positive definiteness of the covariance matrix without restricting the sign of factors, it allows for a flexible specification of the physical drift as does the Gaussian term structure model, contributing also to accurate level prediction.